Persistencia de la rentabilidad en las empresas del mercado de capitales de Argentina
Keywords:
Persistence of profitability, Media reversion, Concentration, merging economy
Abstract
This study tries to contribute to the discussion of the persistence and, therefore, of the reversion to the media of the profitability in the firms of Argentina Capital Market, most of them large firms. Previous research rejects the hypothesis of a competitive environment and of rapid convergence to the media profitability in developed economies. But, on the other hand, studies in emerging economies are not coincident regarding the degree of persistence of profitability. In turbulent economies, such as Argentina, a rapid process of reversion to the media would be expected, however, large firms have a greater capacity to overcome economic crises. For the estimation of persistence, the generalized moments method (GMM) was applied because it is more appropriate when there are endogeneity problems.
Firms in the Argentine capital market show an important persistence of profitability, a non-competitive environment and economic concentration. The process of reversion to the media is incomplete and the firms with profitability below the media do not quickly cover it, the latter would indicate failures in the functioning of the market.
References
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Anuarios del Instituto Argentino del Mercado de Capitales-IAMC (2004-2013). Disponible en http: //www.iamc.sba.com.ar/informes/informe_ anuario/.
Aslan, A., F. Kula y M. Kaplan (2010). New evidence on the persistence of profit in Turkey with first and second-generation panel unit root tests. METU Studies in Development, 37(1), 25-40.
Arellano, M. y S. Bond (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 58(2), 277-297.
Arellano, M. y O. Bover (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
Azpiazu, D., P. Manzanelli y M. Schorr (2011). Concentración y extranjerización en la economía argentina en la posconvertibilidad (2002-2008). Cuadernos del CENDES, 28(76), 97-119.
Bain, J. S. (1956). Barriers to new competition (Vol. 3, p. 55). Cambridge, MA: Harvard University Press.
Blundell, R. y S. Bond (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of econometrics, 87(1), 115-143.
Eklund, J. E. y D. Wiberg (2007). Persistence of profits and the systematic search for knowledge (pp. 85-101). CESIS Electronic Working Paper Series. Obtenido https://static.sys.kth.se/itm/wp/cesis/cesiswp85.pdf el 20/06/2018.
Fama, E. F. y K. R. French, (2000). Forecasting Profitability and Earnings. The Journal of Business 73, 161-175.
Freeman, R. N., J. A. Ohlson y S. H. Penman (1982). Book rate-of-return and prediction of earnings changes: An empirical investigation. Journal of accounting research, 639-653.
Geroski, P. A. y A. Jacquemin (1988). The persistence of profits: a European comparison. The Economic Journal, 98(391), 375-389.
Glen, J., K. Lee y A. Singh (2001). Persistence of profitability and competition in emerging markets. Economics letters, 72(2), 247-253.
Goddard, J. A. y J. O. Wilson (1999). The persistence of profit: a new empirical interpretation. International Journal of Industrial Organization, 17(5), 663-687.
Jiang, N. y P. A. Kattuman (2010). Intensity of competition in China: profitability dynamics of Chinese listed companies. Asia Pacific business review, 16(3), 461-481.
Holtz-Eakin, D., W. Newey y H. Rosen (1988). Estimating Vector Autoregressions with Panel Data. Econometrica, 56(6), 1371-1395.
Holtz-Eakin, D. (1988). Testing for individual effects in autoregressive models. Journal of Econometrics, 39(3), 297-307.
Lanter, D., S. Hirsch y R. Finger (2018). Profitability and Competition in EU Food Retailing. In 2018 Annual Meeting, August 5-7, Washington, DC (No. 274202). Agricultural and Applied Economics Association. Obtenido de https:// ageconsearch.umn.edu/record/277105 el 29/05/2020.
Lipe, R. y R. Kormendi (1994). Mean Reversion in Annual Earnings and Its Implications for Security Valuation. Review of Quantitative Finance and Accounting, 4, 24-46.
Maruyama, N. y H. Odagiri (2002). Does the ‘persistence of profits’ persist? A study of company profits in Japan, 1964–97. International journal of industrial organization, 20(10), 1513-1533
McMillan, D. G. y M. E. Wohar (2011). Profit persistence revisited: the case of the UK. The Manchester School, 79(3), 510-527.
Missim, D. y S. H. Penman (2001). Ratio Analysis and Equity Valuation: From research to practice. Review of Accounting Studies, 6, 109-154.
Mueller, D. C. (1977). The Persistence of Profits above the Norm. Economica, 44, 369-380.
Mueller, D.C. (1990). The Dynamics of Company Profits: An International Comparison. Cambridge University Press, Cambridge, UK.
Jiang, N., P. Kattuman y A. Kotia (2017). Polarisation and Reversion under Competition: Profitability of Indian Firms. International Journal of the Economics of Business, 24(2), 131-151.
Porter, M. (1982). Estrategia competitiva: técnicas para el análisis de los sectores industriales y de la competencia. México D.F.: Continental.
Puziak, M. (2017). The Persistence of Abnormal Returns: Analysis of Polish Manufacturing Industry, Economics and Sociology, 10(1), 48-60.
Resende, M. (2006). Profit persistence in Brazil: a panel data study. Estudos Econômicos (São Paulo), 36(1), 115-126.
Roodman, D. (2009). How to do xtabond2: An introduction to difference and system GMM in Stata. The stata journal, 9(1), 86-136.
Schipper, K. y L. Vincent (2003). Earnings quality. Accounting Horizons, 17 (supplement), 97–110.
Schumpeter, J. A. (1983) Business Cycles: A Theoretical, Historical, and Statistical Analysis of the Capitalist Process, McGraw - Hill Book Company Inc., New York
Stigler, G. (1963). Capital and Rates of Return in Manufacturing Industries. Princeton, NJ: Princeton University Press.
Waring, G. F. (1996), Industry differences in the Persistence of Firm-Specific Returns, American Economic Review, 86, 5, 1253-1265.
Wahlen, J. M., S. P. Baginski y M. Bradshaw (2014). Financial reporting, financial statement analysis and valuation. Nelson Education.
Windmeijer, F. (2005). A finite sample correction for the variance of linear efficient two – step GMM estimators, Journal of Econometrics, 126, 25- 51.
Wintoki, M. B., J. S. Linck y J. M. Netter (2012). Endogeneity and the dynamics of internal corporate governance. Journal of Financial Economics, 105(3), 581-606.
Yurtoglu, B. B. (2004). Persistence of firm-level profitability in Turkey. Applied Economics, 36(6), 615-625.
