365
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Profit persistence and stock returns

&

References

  • Baur, D. G., T. Dimpfl, and R. C. Jung. 2012. “Stock Return Autocorrelations Revisited: A Quantile Regression Approach.” Journal of Empirical Finance 19: 254–265. doi:10.1016/j.jempfin.2011.12.002.
  • Beaver, W., M. McNichols, and R. Price. 2007. “Delisting Returns and Their Effect on Accounting-Based Market Anomalies.” Journal of Accounting and Economics 43: 341–368. doi:10.1016/j.jacceco.2006.12.002.
  • Brown, D. P., and B. Rowe. 2007. “The Productivity Premium in Equity Returns.” http://ssrn.com/abstract=993467.
  • Cable, J., and R. H. G. Jackson. 2008. “The Persistence of Profits in the Long Run: A New Approach.” International Journal of the Economics of Business 15: 229–244. doi:10.1080/13571510802134403.
  • Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52: 57–82. doi:10.1111/j.1540-6261.1997.tb03808.x.
  • Cochrane, J. H. 2005. Asset Pricing. Princeton, NJ: Princeton University Press.
  • Fairfield, P. M., J. S. Whisenant, and T. L. Yohn. 2003. “Accrued Earnings and Growth: Implications for Future Profitability and Market Mispricing.” The Accounting Review 78: 353–371. doi:10.2308/accr.2003.78.1.353.
  • Fama, E., and K. French. 1992. “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47: 427–465. doi:10.1111/j.1540-6261.1992.tb04398.x.
  • Fama, E., and K. French. 1996. “Multifactor Explanations of Asset Pricing Anomalies.” The Journal of Finance 51: 55–84. doi:10.1111/j.1540-6261.1996.tb05202.x.
  • Fama, E., and K. French. 2000. “Forecasting Profitability and Earnings.” The Journal of Business 73: 161–175. doi:10.1086/jb.2000.73.issue-2.
  • Fama, E., and K. French. 2006. “Profitability, Investment and Average Returns.” Journal of Financial Economics 82: 491–518. doi:10.1016/j.jfineco.2005.09.009.
  • Geroski, P. A. 1990. “Modelling Persistent Profitability.” In The Dynamics of Company Profits, edited by Mueller, D. C., 1534. Cambridge: Cambridge University Press.
  • Geroski, P. A., and A. Jacquemin. 1988. “The Persistence of Profits: A European Comparison.” The Economic Journal 98: 375–389. doi:10.2307/2233373.
  • Goddard, J. A., and J. O. S. Wilson. 1999. “The Persistence of Profit: A New Empirical Interpretation.” International Journal of Industrial Organization 17: 663–687. doi:10.1016/S0167-7187(97)00055-6.
  • Gordon, M. J., and E. Shapiro. 1956. “Capital Equipment Analysis: The Required Rate of Profit.” Management Science 3: 102–110. doi:10.1287/mnsc.3.1.102.
  • Gschwandtner, A. 2005. “Profit Persistence in the ‘Very’ Long Run: Evidence from Survivors and Exiters.” Applied Economics 37: 793–806. doi:10.1080/0003684042000337406.
  • Gschwandtner, A. 2012. “Evolution of Profit Persistence in the USA: Evidence from Three Periods.” The Manchester School 80: 172–209. doi:10.1111/manc.2012.80.issue-2.
  • Gugler, K., D. C. Mueller, and B. Yurtoglu. 2006. The determinants of merger waves, WZB-Markets and Politics Working Paper SP II 2006–1.
  • Harvey, C. R., Y. Liu, and H. Zhu. 2014. The Cross-Section of Expected Returns, NBER Working Paper 20592.
  • Hou, K., and D. Robinson. 2006. “Industry Concentration and Average Stock Returns.” The Journal of Finance 61: 1927–1956. doi:10.1111/jofi.2006.61.issue-4.
  • Kambhampati, U. S. 1995. “The Persistence of Profit Differentials in Indian Industry.” Applied Economics 27: 353–361. doi:10.1080/00036849500000119.
  • Keim, D. B. 1983. “Size-Related Anomalies and Stock Return Seasonability: Further Empirical Evidence.” Journal of Financial Economics 12: 13–32. doi:10.1016/0304-405X(83)90025-9.
  • Kent, D., M. Grinblatt, S. Titman, and R. Wermers. 1997. “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks.” The Journal of Finance 52: 1035–1058. doi:10.1111/j.1540-6261.1997.tb02724.x.
  • McGahan, A. M., and M. E. Porter. 1999. “The Persistence of Shocks to Profitability.” The Review of Economics and Statistics 81: 143–153. doi:10.1162/003465399767923890.
  • Mohanram, P. S. 2005. “Separating Winners from Losers among Low Book- To-Market Stocks Using Financial Statement Analysis.” Review of Accounting Studies 10: 133–170. doi:10.1007/s11142-005-1526-4.
  • Mueller, D. C. 1977. “The Persistence of Profits above the Norm.” Economica 44: 369–380. doi:10.2307/2553570.
  • Mueller, D. C. 1986. Profits in the Long Run. Cambridge: Cambridge University Press.
  • Novy-Marx, R. 2013. “The Other Side of Value: The Gross Profitability Premium.” Journal of Financial Economics 108: 1–28. doi:10.1016/j.jfineco.2013.01.003.
  • Pattitoni, P., B. Petracci, and M. Spisni. 2014. “Determinants of Profitability in the EU–15 Area.” Applied Financial Economics 24: 763–775. doi:10.1080/09603107.2014.904488.
  • Soliman, M. T. 2008. “The Use of Dupont Analysis by Market Participants.” The Accounting Review 83: 823–853. doi:10.2308/accr.2008.83.3.823.
  • Vuolteenaho, T. 2002. “What Drives Firm-Level Stock Returns?” The Journal of Finance 57: 233–264. doi:10.1111/jofi.2002.57.issue-1.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.