On Modelling the Persistence of Profits in the Long Run: An Analysis of 156 US Companies, 1950-1999

Adelina Gschwandtner and John R. Cable ()

Vienna Economics Papers from University of Vienna, Department of Economics

Abstract: Long run persistence in company profits is analyzed for 156 US companies over a fifty-year period using AR1 and structural time series tests. A statistically significant degree of consitstency is found between them in identifying firms persistently above or below the competitive norm. However, the structural time series method detects a higher overall incidence of persistence, with nearly 70% of firms classed as not having converged on Zero, compared with 46% under AR1 estimation. The recently proposed structural approach is seen as a useful additional tool in analysing earnings dynamics, in particular where are complex trends and other dynamic complexities.

JEL-codes: C32 L12 (search for similar items in EconPapers)
Date: 2004-07
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