Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests

Jan Bentzen, Erik Strøjer Madsen (), Valdemar Smith () and Dilling-Hansen, Mogens
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Erik Strøjer Madsen: Department of Economics, Aarhus School of Business, Postal: The Aarhus School of Business, Prismet, Silkeborgvej 2, DK 8000 Aarhus C, Denmark
Dilling-Hansen, Mogens: Department of Economics, University of Aarhus, Postal: University of Aarhus, Department of Economics, Building 322, DK-8000 Aarhus C

No 04-15, Working Papers from University of Aarhus, Aarhus School of Business, Department of Economics

Abstract: Persistence in corporate performance is analyzed in the framework of empirical tests of unit root behavior concerning firm profits. Data for firm-specific rates of return is applied in a set of panel unit root tests to address the question of persistence in profits both at firm level and for the aggregate level of industry-specific profits. The firm data all reject a null hypothesis of random walk behavior of profits but when smoothing profit rates at a two-digit NACE-code level for industries, the empirical evidence is more mixed as most industries show up with a unit root in aggregate rates of return, i.e. indicating persistence in corporate performance.

Keywords: Corporate performance; Persistence in profits; Panel unit root tests (search for similar items in EconPapers)
JEL-codes: C30 L20 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec and nep-ent
Date: Written 2004-12-10
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Related works:
Journal Article: Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:hhs:aareco:2004_015

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