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Earnings persistence

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  • Frankel, Richard
  • Litov, Lubomir

Abstract

Dichev and Tang [2009. Earnings volatility and earnings predictability. Journal of Accounting and Economics, this issue, doi:10.1016/j.jacceco.2008.09.005] document the predictive power of past earnings volatility for the persistence of current earnings. We revisit their findings to verify the incremental explanatory power of this effect and to study whether the predictive power of past earnings volatility is priced in stock returns. We also discuss motives for the study of earnings persistence. Our findings indicate that the relation between past earnings volatility and earnings persistence is robust to the additional controls and to a correction for sampling bias, but that earnings volatility does not predict stock returns.

Suggested Citation

  • Frankel, Richard & Litov, Lubomir, 2009. "Earnings persistence," Journal of Accounting and Economics, Elsevier, vol. 47(1-2), pages 182-190, March.
  • Handle: RePEc:eee:jaecon:v:47:y:2009:i:1-2:p:182-190
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    References listed on IDEAS

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    Cited by:

    1. Brushwood, James & Dhaliwal, Dan & Fairhurst, Douglas & Serfling, Matthew, 2016. "Property crime, earnings variability, and the cost of capital," Journal of Corporate Finance, Elsevier, vol. 40(C), pages 142-173.
    2. Pimentel, Renê Coppe & Aguiar, Andson Braga de, 2016. "O papel da persistência dos lucros na acurácia de avaliação e no horizonte temporal," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 56(1), January.
    3. Sung Kwon & Jennifer Yin, 2015. "A comparison of earnings persistence in high-tech and non-high-tech firms," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 645-668, May.
    4. Cheng, Che-Hui & Wu, Po-Chin, 2013. "Nonlinear earnings persistence," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 156-168.
    5. repec:eee:spacre:v:17:y:2014:i:1:p:30-46 is not listed on IDEAS
    6. Kousenidis, Dimitrios V. & Ladas, Anestis C. & Negakis, Christos I., 2013. "The effects of the European debt crisis on earnings quality," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 351-362.

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    Keywords

    Earnings persistence;

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