Nonlinear earnings persistence
AbstractThis study employs panel smooth transition regression (PSTR) models with different lagged variables of earnings components as regressor to evaluate earnings persistence effects. The models can resolve collinearity problems between predictors, reflect firms' volatile or irregular earnings streams that are likely derived from long-run investments, and provide more useful information for improving forecasting performance. Most importantly, they can describe differential earnings persistence effects between different regimes that have not been verified by previous studies. Our empirical results support these arguments.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 25 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/620165
Earnings persistence effect; Panel smooth transition regression model; Regime switching; Lagged cash flows; Lagged (un)systematic earnings;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
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