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The persistence of earnings per share

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  • Luis Gil-Alana
  • Rolando Peláez

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. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," IEER Working Papers 81, Institute of Empirical Economic Research, Osnabrueck University.
    2. 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.
    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.

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