Earnings persistence

Richard Frankel, Lubomir P Litov

Research output: Contribution to journalArticle

42 Citations (Scopus)

Abstract

Dichev and Tang [2009. Earnings volatility and earnings predictability. Journal of Accounting and Economics, this issue, doi:10.1016/j.jacceco.2008.09.005] document the predictive power of past earnings volatility for the persistence of current earnings. We revisit their findings to verify the incremental explanatory power of this effect and to study whether the predictive power of past earnings volatility is priced in stock returns. We also discuss motives for the study of earnings persistence. Our findings indicate that the relation between past earnings volatility and earnings persistence is robust to the additional controls and to a correction for sampling bias, but that earnings volatility does not predict stock returns.

Original languageEnglish (US)
Pages (from-to)182-190
Number of pages9
JournalJournal of Accounting and Economics
Volume47
Issue number1-2
DOIs
StatePublished - Mar 2009
Externally publishedYes

Fingerprint

Earnings persistence
Earnings volatility
Stock returns
Predictive power
Incremental
Sampling
Economics
Persistence
Earnings predictability
Volatility persistence

Keywords

  • Earnings persistence

ASJC Scopus subject areas

  • Accounting
  • Economics and Econometrics
  • Finance

Cite this

Earnings persistence. / Frankel, Richard; Litov, Lubomir P.

In: Journal of Accounting and Economics, Vol. 47, No. 1-2, 03.2009, p. 182-190.

Research output: Contribution to journalArticle

Frankel, Richard ; Litov, Lubomir P. / Earnings persistence. In: Journal of Accounting and Economics. 2009 ; Vol. 47, No. 1-2. pp. 182-190.
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