Nonlinear earnings persistence
This study employs panel smooth transition regression (PSTR) models with different lagged variables of earnings components as regressor to evaluate earnings persistence effects. The models can resolve collinearity problems between predictors, reflect firms' volatile or irregular earnings streams that are likely derived from long-run investments, and provide more useful information for improving forecasting performance. Most importantly, they can describe differential earnings persistence effects between different regimes that have not been verified by previous studies. Our empirical results support these arguments.
When requesting a correction, please mention this item's handle: RePEc:eee:reveco:v:25:y:2013:i:c:p:156-168. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.