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Do funds prefer longitudinal persistence for high and low earnings?

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  • Qianhua Lei
  • Yue Yang
  • Saisai Li
  • Huili Chen

Abstract

This study examines whether securities investment fund ownership correlates with longitudinal persistence for high and low earnings. Using longitudinal data analysis methods, including a Cox proportional hazards regression model and a hierarchical linear regression model, we obtain two main findings: (1) For a low level of earnings, fund ownership not only reduces the likelihood of earnings decline but also increases the likelihood of an upward trend in earnings; (2) For a high level of earnings, fund ownership reduces not only the likelihood of earnings decline but also the likelihood of a downward trend in earnings. Our study provides evidence that funds emphasize firms’ long-term earnings persistence when they choose stocks.

Suggested Citation

  • Qianhua Lei & Yue Yang & Saisai Li & Huili Chen, 2023. "Do funds prefer longitudinal persistence for high and low earnings?," Applied Economics Letters, Taylor & Francis Journals, vol. 30(6), pages 843-849, March.
  • Handle: RePEc:taf:apeclt:v:30:y:2023:i:6:p:843-849
    DOI: 10.1080/13504851.2022.2026867
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