Title

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

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

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

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Link to publisher version (DOI)

10.1080/00036840500244634