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The Persistence of Earnings per Share

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Listed author(s):
  • Luis A. Gil-Alana

    ()

    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Rolando Pelaez

    ()

    (University of Houston-Downtown, Houston, USA)

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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File URL: http://www.unav.edu/documents/10174/6546776/1227196439_WP_08_08_Alana_Pelaez.pdf
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Paper provided by School of Economics and Business Administration, University of Navarra in its series Faculty Working Papers with number 08/08.

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Length: 27 pages
Date of creation: 20 Nov 2008
Publication status: Published in THE REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 31 (4), 2008
Handle: RePEc:una:unccee:wp0808
Contact details of provider: Web page: http://www.unav.edu/web/facultad-de-ciencias-economicas-y-empresariales

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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.

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