The Persistence of Earnings per Share
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
|Date of creation:||20 Nov 2008|
|Date of revision:|
|Publication status:||Published in THE REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 31 (4), 2008|
|Contact details of provider:|| Web page: http://www.unav.edu/web/facultad-de-ciencias-economicas-y-empresariales|
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