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I'm looking into a research project and am struggling to find any existing work on this or whether I'm asking the right question.

My question is to test the relationship between macroeconomic variables (GDP growth, inflation, employment, fiscal spending etc.) and the financial performance (revenues, ebitda etc.) of companies in various industries of the country - with the idea to test whether this relationship exists and whether some industries are more invariant to economic shocks? The ultimate result would a variable that gives the relationship, for example gdp growth of x% would given revenue growth of y% in a certain industry vs. z% in another.

My econometric knowledge is rusty but given if the question is viable I'll have panel data (time series growth for multiple companies and macro variables) and need to run some sort of fixed effects model?

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Normally, your question is formulated by asking if gdp is linked to stock performance, since gdp is output, it is very clearly linked to revenue growth. In which case, the question is: does gdp growth lead to higher excess returns? Just food for thought. Either way, here’s a paper I came across myself when I was looking into the same question. They site a few studies of the same flavor as your proposal, and focus on EPS vs. gdp. Perhaps this can be a starting point for

https://www.msci.com/documents/10199/a134c5d5-dca0-420d-875d-06adb948f578

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This doesn't answer your question directly but might be helpful:

  1. you won't have much data given the frequency of release of GDP
  2. composition of GDP has changed significantly over time (e.g. less VA from manufacturing, more from services)
  3. GDP is revised substantially and a long time after initial release (e.g. corporate profit component of US GDP was recently revised back to 2014). Failing to use "vintage" or "point-in-time" data - which can be difficult and expensive to obtain - might render your results useless
  4. what any given company does might change significantly over time (e.g. IBM moving from hardware to services)
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