Title

Forecasting profitability and earnings: a study of the UK market (1982-2000)

Document Type

Journal Article

Publisher

Routledge, Taylor and Francis Group

Faculty

Business and Public Management

School

Accounting, Finance and Business Economics

RAS ID

3389

Comments

This article was originally published as: 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. Original article available here

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

 

Link to publisher version (DOI)

10.1080/00036840500244634