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This study empirically investigates the relationships between earnings persistence and economic determinants of persistence. Earnings persistence is generally defined as the revisions in e...
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This study empirically investigates the relationships between earnings persistence and economic determinants of persistence. Earnings persistence is generally defined as the revisions in expectations of future earnings induced by the current-period earnings innovation. Whether persistence measures are related to characteristics of the firm"s economic environment or not is important for the users of accounting information, especially investors and analysts.
An empirical analysis has been conducted on the sample of manufacturing firms listed on the Korean Stock Exchange whose fiscal year-end is December 31th. Firms which have undergone the structural changes during the test period is excluded from the sample because of the difficulties of identification and estimation of time-series models. Using time-series data of earnings from 1980 to 2003, we examine the time-series properties of annual earnings. Based on the firm-specific ARIMA models, we obtain measures of earnings persistence, adapting the Flavin"s(1981) approach to show that, for a given ARIMA(p,d,q) model specification, persistence is a function of the autoregressive and moving-average parameters. Then, we investigate the relationship between earnings persistence and observable firm"s economic characteristics.
The empirical results can be summarized as follows;
First, AR(1) is an adequate description of the time series behavior of Korean firms" earnings. This result supports that almost all of the studies in Korea with respect to earnings persistence use AR(1) model to obtain measures of earnings persistence.
Second, earnings persistence is found to have significant relationship with firm"s economic characteristics, which indicates that observable firm characteristics can be used as instruments for earnings persistence.
Previous researchers on this subject simply assumed the specific earnings process for measuring the earnings persistence without investigating the firm-specific times-series models of earnings. However, we first investigate firm-specific model and estimate the earnings persistence measures. Using this results, we can present stronger evidence for the relationships between earnings persistence and both firm"s economic characteristics.
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