Daily Signals From Corporate 10-Q Filings

Corporate Activity Tracker turns firm-level 10-Q filings into real-time, daily indicators of U.S. macroeconomic conditions. By benchmarking each announcement to the same fiscal quarter a year earlier and aggregating across the quarterly reporting cycle, it filters firm-specific noise and composition shifts. The result is a high-frequency view of the business cycle that separates leading signals (liquidity, leverage, corporate debt dynamics) from lagging fundamentals—and is validated in forecasting U.S. stock market returns.

This website provides access to the data of the series and their interactive plots. Please cite our paper if you are using this data. You can access the BibTeX here. For inquiries, please contact us at contact@corporateactivitytracker.com.

@article{pettenuzzo2024financial,
  title={Financial statements and macroeconomic dynamics},
  author={Pettenuzzo, Davide and Sabbatucci, Riccardo and Timmermann, Allan and Vulicevic, Luka},
  journal={Available at SSRN 4922676},
  year={2024}
}