期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2010
卷号：4
期号：1
页码：41-57
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：In this paper we examine the stationarity of earnings, within the context of a panel consisting of 479firms listed on the London Stock Exchange over the time perio d 1984-2003. Using standard ADF tests,we find that the annual earnings pro cess is stationary for only 27% of the sample firms. Motivated byFama and French (2000), we present new tests of stationarity, which explicitly allow for the possibilitythat earnings can be characterised by a non-linear mean-reverting pro cess. Once we allow for a nonlinear adjustment, the earnings process is stationary for 76% of the sample firms. A final contribution isto discuss the implications of our findings for empirical mo dels which involve earnings as an explanatoryvariable
