The Persistence of Earnings per Share

Luis Gil-Alana and Rolando Pelaez ()
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Rolando Pelaez: University of Houston-Downtown, Houston, USA

No 08/08, Faculty Working Papers from School of Economics and Business Administration, University of Navarra

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

Pages: 27 pages
Date: 2008-11-20
New Economics Papers: this item is included in nep-lab
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Citations: View citations in EconPapers (4)

Published in THE REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING 31 (4), 2008

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Related works:
Journal Article: The persistence of earnings per share (2008)
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