haku: @author French, K.R. / yhteensä: 6
viite: 4 / 6
| Tekijä: | Fama, E.F. French, K.R. |
| Otsikko: | Forecasting profitability and earnings |
| Lehti: | Journal of Business
2000 : APR, VOL. 73:2, p. 161-175 |
| Asiasana: | Economic theory Forecasting Profitability Earnings Models |
| Kieli: | eng |
| Tiivistelmä: | There is strong presumption in economics that profitability is mean reverting in a competitive environment. Corroborating evidence is provided. In a simple partial adjustment model, the estimated rate of mean reversion is about 38 % per annum. But a simple partial adjustment model with a uniform rate of mean reversion misses rich non-linear patterns in the behaviour of profitability. Specifically, mean reversion is found to be faster when profitability is below its mean and when it its further from its mean in either direction. It is also shown that the mean reversion in profitability produces predictable variation in earnings. |
SCIMA