Persistence in Corporate Performance? - Empirical Evidence from Panel Unit Root Tests
Valdemar Smith () and
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Mogens Dilling-Hansen: 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
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)
Pages: 25 pages
New Economics Papers: this item is included in nep-bec and nep-ent
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Journal Article: Persistence in Corporate Performance? Empirical Evidence from Panel Unit Root Tests (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:aareco:2004_015
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