Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests
AbstractPersistence in corporate performance is analyzed in the framework of empirical tests of unit root behavior concerning firm profits. Data for firm-specific rates of return is applied in a set of panel unit root tests to address the question of persistence in profits both at firm level and for the aggregate level of industry-specific profits. The firm data all reject a null hypothesis of random walk behavior of profits but when smoothing profit rates at a two-digit NACE-code level for industries, the empirical evidence is more mixed as most industries show up with a unit root in aggregate rates of return, i.e. indicating persistence in corporate performance.
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Bibliographic InfoPaper provided by University of Aarhus, Aarhus School of Business, Department of Economics in its series Working Papers with number 04-15.
Length: 25 pages
Date of creation: 10 Dec 2004
Date of revision:
Contact details of provider:
Postal: The Aarhus School of Business, Prismet, Silkeborgvej 2, DK 8000 Aarhus C, Denmark
Phone: +45 89 486396
Fax: +45 8615 5175
Web page: http://www.asb.dk/departments/nat.aspx
More information through EDIRC
Corporate performance; Persistence in profits; Panel unit root tests;
Other versions of this item:
- Jan Bentzen & Erik Madsen & Valdemar Smith & Mogens Dilling-Hansen, 2005. "Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests," Empirica, Springer, vol. 32(2), pages 217-230, 06.
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- L20 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-20 (All new papers)
- NEP-BEC-2004-12-20 (Business Economics)
- NEP-ENT-2004-12-20 (Entrepreneurship)
- NEP-ENT-2004-12-21 (Entrepreneurship)
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