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The persistence of earnings per share

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  • Luis Gil-Alana

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  • Rolando Peláez

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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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Suggested Citation

  • Luis Gil-Alana & Rolando Peláez, 2008. "The persistence of earnings per share," Review of Quantitative Finance and Accounting, Springer, vol. 31(4), pages 425-439, November.
  • Handle: RePEc:kap:rqfnac:v:31:y:2008:i:4:p:425-439 DOI: 10.1007/s11156-007-0077-0
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    Cited by:

    1. Kryzanowski, Lawrence & Mohsni, Sana, 2013. "Growth of aggregate corporate earnings and cash-flows: Persistence and determinants," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 13-23.
    2. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," CESifo Working Paper Series 2968, CESifo Group Munich.
    3. 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.

    More about this item

    Keywords

    Persistence; Fractional integration; Earnings per share; C010; C140; G100;

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