Forecasting profitability and earnings: a study of the UK market (1982-2000)
Document Type
Journal Article
Publisher
Routledge - Taylor and Francis Group
Faculty
Faculty of Business and Public Management
School
School of Accounting, Finance and Business Economics
RAS ID
3389
Abstract
An approach recently developed by Fama and French (2000) is applied to the study of whether UK company profitability is mean-reverting. A sample of roughly 987 firms per year for a period from 1982–2000 is used, drawn from Datastream. In a simple partial adjustment model convergence towards the mean at a rate of about 25% per year is found. The results are very similar in direction to those of Fama and French (2000) but the results do not display significant non-linearities. The change in profitability appears to be more strongly influenced by dividends in the UK.
DOI
10.1080/00036840500244634
Comments
Allen, D. E., & Salim, H. M. (2005). Forecasting profitability and earnings: a study of the UK market (1982-2000). Applied Economics, 37 (17), 2009-2018. Available here