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The Persistence of Earnings per Share

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  • Luis A. Gil-Alana

    ()
    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Rolando Pelaez

    ()
    (University of Houston-Downtown, Houston, USA)

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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Bibliographic Info

Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 08/08.

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Length: 27 pages
Date of creation: 20 Nov 2008
Date of revision:
Publication status: Published in THE REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 31 (4), 2008
Handle: RePEc:una:unccee:wp0808

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Web page: http://www.unav.es/facultad/econom

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Cited by:
  1. 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.
  2. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," Working Papers 81, Institute of Empirical Economic Research.

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