Explaining earnings persistence: a threshold autoregressive panel unit root approach
AbstractThis paper proposes a reassessment to the hypothesis that the persistence of current earnings performance is decreasing in the magnitude of the accrual component of earnings and increasing in the magnitude of the cash flow component of earnings. For this purpose, a threshold autoregressive panel unit root approach is proposed using a Fisher-type. This approach allowed us to distinguish between unconditioned and conditioned measures of persistence, making it possible to infer whether the earnings components condition its persistence. The approach was applied to a sample of 126 Brazilian firms in the period from 1995 to 2007. Our main results are the finding of relevant earnings persistence heterogeneity between the firms in the sample, a relatively lower unconditioned measure of earnings persistence, and a partial rejection of the hypothesis afore mentioned, specifically about the effects of the accruals components over the earnings persistence.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 14237.
Date of creation: 23 Mar 2009
Date of revision:
earnings persistence; accruals; threshold autoregressions; panel unit root tests;
Find related papers by JEL classification:
- M41 - Business Administration and Business Economics; Marketing; Accounting - - Accounting - - - Accounting
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ACC-2009-03-28 (Accounting & Auditing)
- NEP-ALL-2009-03-28 (All new papers)
- NEP-LAB-2009-03-28 (Labour Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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