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The Persistence of Earnings per Share

Author

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  • Luis A. Gil-Alana

    (Facultad de Ciencias Económicas y Empresariales, Universidad de Navarra)

  • Rolando Pelaez

    (University of Houston-Downtown, Houston, USA)

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

Suggested Citation

  • Luis A. Gil-Alana & Rolando Pelaez, 2008. "The Persistence of Earnings per Share," Faculty Working Papers 08/08, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp0808
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    References listed on IDEAS

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    Cited by:

    1. Sebastian Brauer & Frank Westermann, 2010. "A Note on the Time Series Measure of Conservatism," CESifo Working Paper Series 2968, CESifo.
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    3. Mohamed Elbannan, 2011. "Accounting and stock market effects of international accounting standards adoption in an emerging economy," Review of Quantitative Finance and Accounting, Springer, vol. 36(2), pages 207-245, February.

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