The persistence of return on assets: differences between industries and differences between firms

dc.contributorUniversitat de Lleida. Departament d'Administració d'Empreses i Gestió Econòmica dels Recursos Naturals
dc.contributor.authorSaladrigues Solé, Ramon
dc.contributor.authorGallizo Larraz, José Luis
dc.contributor.authorGargallo Valero, Pilar
dc.contributor.authorSalvador Figueras, Manuel
dc.description.abstractThis study offers a statistical analysis of the persistence of annual profits across a sample of firms from different European Union (EU) countries. To this end, a Bayesian dynamic model has been used which enables the annual behaviour of those profits to be broken down into a permanent structural component on the one hand and a transitory component on the other, while also distinguishing between general effects affecting the industry as a whole to which each firm belongs and specific effects affecting each firm in particular. This break down enables the relative importance of those fundamental components to be evaluated. The data analysed come from a sample of 23,293 firms in EU countries selected from the AMADEUS data-base. The period analysed ran from 1999 to 2007 and 21 sectors were analysed, chosen in such a way that there was a sufficiently large number of firms in each country*sector combination for the industry effects to be estimated accurately enough for meaningful comparisons to be made by sector and country. The analysis has been conducted by sector and by country from a Bayesian perspective, thus making the study more flexible and realistic since the estimates obtained do not depend on asymptotic results. In general terms, the study finds that, although the industry effects are significant, more important are the specific effects. That importance varies depending on the sector or the country in which the firm carries out its activity. The influence of firm effects accounts for more than 90% of total variation and display a significantly lower degree of persistence, with adjustment speeds oscillating around 51.1%. However, this pattern is not homogeneous but depends on the sector and country analysed. Industry effects have a more marginal importance, being significantly more persistent, with adjustment speeds oscillating around 10% with this degree of persistence being more homogeneous at both country and sector levels.ca_ES
dc.publisherEdicions de la Universitat de Lleidaca_ES
dc.relation.isformatofReproducció del document publicat a:
dc.relation.ispartofNew trends in accounting and management, 2013, núm. 7, p. 1-38ca_ES
dc.rights(c) Edicions de la Universitat de Lleida, 2013ca_ES
dc.rights(c) AEGERN, 2013
dc.subjectDynamic modelsca_ES
dc.subjectBayesian Inferenceca_ES
dc.subjectAbnormal Returnsca_ES
dc.subjectPersistence of Profitsca_ES
dc.subjectReturn on Assetsca_ES
dc.subject.otherEmpreses -- Financesca_ES
dc.titleThe persistence of return on assets: differences between industries and differences between firmsca_ES
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