Galimberti, Jaqueson Kingeski and Cupertino, César Medeiros (2009): Explaining earnings persistence: a threshold autoregressive panel unit root approach.
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This paper proposes a reassessment to the hypothesis that the persistence of current earnings performance is decreasing in the magnitude of the accrual component of earnings and increasing in the magnitude of the cash flow component of earnings. For this purpose, a threshold autoregressive panel unit root approach is proposed using a Fisher-type. This approach allowed us to distinguish between unconditioned and conditioned measures of persistence, making it possible to infer whether the earnings components condition its persistence. The approach was applied to a sample of 126 Brazilian firms in the period from 1995 to 2007. Our main results are the finding of relevant earnings persistence heterogeneity between the firms in the sample, a relatively lower unconditioned measure of earnings persistence, and a partial rejection of the hypothesis afore mentioned, specifically about the effects of the accruals components over the earnings persistence.
|Item Type:||MPRA Paper|
|Original Title:||Explaining earnings persistence: a threshold autoregressive panel unit root approach|
|Keywords:||earnings persistence; accruals; threshold autoregressions; panel unit root tests|
|Subjects:||M - Business Administration and Business Economics; Marketing; Accounting > M4 - Accounting and Auditing > M41 - Accounting
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C23 - Models with Panel Data; Longitudinal Data; Spatial Time Series
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Jaqueson Kingeski Galimberti|
|Date Deposited:||24. Mar 2009 12:58|
|Last Modified:||12. Feb 2013 16:10|
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