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The persistence of earnings per share

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  • Luis Gil-Alana

    ()

  • Rolando Peláez

    ()

Abstract

This paper employs various empirical tests in order to measure the persistence of shocks to EPS for the S&P 500 index. Within the I(0)/I(1) paradigm the empirical evidence rejects the I(1) specification, supporting instead a trend-stationary representation. When fractional orders of integration are considered, the results indicate that the series is long memory (d > 0) and mean reverting (d

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File URL: http://hdl.handle.net/10.1007/s11156-007-0077-0
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Bibliographic Info

Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

Volume (Year): 31 (2008)
Issue (Month): 4 (November)
Pages: 425-439

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Handle: RePEc:kap:rqfnac:v:31:y:2008:i:4:p:425-439

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Web page: http://springerlink.metapress.com/link.asp?id=102990

Related research

Keywords: Persistence; Fractional integration; Earnings per share; C010; C140; G100;

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  12. Schmidt, Peter & Phillips, C B Peter, 1992. "LM Tests for a Unit Root in the Presence of Deterministic Trends," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 257-87, August.
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Cited by:
  1. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," CESifo Working Paper Series 2968, CESifo Group Munich.
  2. Mohamed Elbannan, 2011. "Accounting and stock market effects of international accounting standards adoption in an emerging economy," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 207-245, February.

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