The Persistence of Earnings per Share
AbstractThis 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 InfoPaper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 08/08.
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
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Web page: http://www.unav.es/facultad/econom
Other versions of this item:
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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