Changes in Persistence of Performance Over Time

Bennett, Victor Manuel

doi:10.2139/ssrn.2839630

Cited by 7 publications

(7 citation statements)

References 79 publications

(88 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…By contrast, Lo [14], Jacobsen [15], Berg and Lyhagen [16], Crato and Ray [17], Batten et al [18] and Serletis and Rosenberg [19], Lu and Perron [20] did not find long-memory properties in financial series. A possible reason for such different findings is that the degree of persistence might change over time as argued by Corazza and Malliaris [21], Glenn [22] and Bennett and Gartenberg [23].…”

Section: Introductionmentioning

confidence: 99%

Long memory and data frequency in financial markets

Caporale

Gil-Alana

Plastun

2019

Journal of Statistical Computation and Simulation

View full text Add to dashboard Cite

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true of the stock markets (both developed and emerging) and partially of the FOREX and commodity markets examined. Such evidence against the random walk behaviour implies predictability and is inconsistent with the Efficient Market Hypothesis (EMH), since abnormal profits can be made using trading strategies based on trend analysis. ARTICLE HISTORY

show abstract

Section: Introductionmentioning

confidence: 99%

Long memory and data frequency in financial markets

Caporale

Gil-Alana

Plastun

2019

Journal of Statistical Computation and Simulation

View full text Add to dashboard Cite

show abstract

“…I first include both one and two‐year lags of firm performance, as mean reversion takes place over the span of 2–3 years (McGahan & Porter, ). Given the autoregressive model that includes lagged values of the dependent variable, I exclude firm fixed effects and estimate a random‐effects model (Bennett & Gartenberg, ; Villalonga, ) due to the well‐known downward bias (Nickell, ). Third, I winsorize ROA at the top and bottom three percentile given the high skew, but winsorizing at the top one or two percentile yields consistent but slightly less sharp results while winsorizing at the top five percentile yields consistent and stronger results (Appendix F).…”

Section: Resultsmentioning

confidence: 99%

“…It is calculated as the difference between firm performance ( P it ) and the industry benchmark ( IB it ), defined as the median ROA at the four‐digit SIC level. The subtraction follows prior research on the persistence of firm performance that adjusts for competitive benchmarks and industry‐level performance (e.g., Bennett & Gartenberg, ; McGahan & Porter, ; Villalonga, ) . For an analysis that separates positive and negative performance, I spline industry‐adjusted ROA into two parts: Positive Peformance it and Negative Performance it .…”

Section: Data and Empirical Approachmentioning

confidence: 99%

Cog in the wheel: Resource release and the scope of interdependencies in corporate adjustment activities

Keum

2019

Strategic Management Journal

View full text Add to dashboard Cite

Research Summary: This study characterizes and tests interdependencies in corporate activities used to adjust resources and implement change. Because each activity contributes only a partial result and depends on others to complete an intended change, constraining one can create a bottleneck that traps multiple other activities. For my empirical analysis, I leverage the staggered adoptions of employment protection laws intended to constrain one specific adjustment to one specific resource: dismissing employees. The constraint, however, not only affects the contraction but also the expansion in labor as well as capital investments, acquisition, divestiture, CEO turnover, and other adjustments, and increases (shortens) the persistence of negative (positive) performance. The expansive interdependencies are critical to understanding firm rigidity and resilience, implementation failures, and the persistence of firm performance.Managerial Summary: This study shows how executing even a seemingly straightforward improvement requires piecing together a series of interdependent corporate strategic activities. As a result, a constraint on just one is sufficient to foil a successful firm response. Using changes in employment laws, I show that a firm's ability to dismiss employees not only affects firing, but also hiring, capital investments, acquisition, divestiture, and CEO turnover, and increases (shortens) the persistence of negative (positive) performance. Underestimating the complex and interdependent nature of these activities can lead to biasfor-action and contribute to implementation failures, such

show abstract

“…A clear time pattern stands out from this figure: λ (2) is lower in the decade 1995–2004 than in the decades before and after. This is consistent with both the findings of “hypercompetition” literature in the 2000s (e.g., D'Aveni et al, ), as well as recent findings of a reversion of this trend (Bennett & Gartenberg, ). Interestingly, the decline in persistence of profits in the decade 1995–2004 is almost exclusively in λ (2) (the persistence of profit growth ), rather than in λ (1) (the persistence of profit levels ).…”

Section: Resultsmentioning

confidence: 99%

“…I find that higher‐order resources significantly affect profit persistence patterns and the resulting duration of competitive advantage across a wide range of industries. A notable exception is that the effect of higher‐order resources on profit persistence patterns is much smaller, or even absent in some industries, in the decade 1995–2004, providing an explanation for the findings of “hypercompetition” literature in the 2000s (e.g., D'Aveni, Dagnino, & Smith, ), as well as more recent findings of a reversion of this trend (e.g., Bennett & Gartenberg, ).…”

Section: Introductionmentioning

confidence: 91%

Performance persistence in the presence of higher‐order resources

Wibbens

2018

Strategic Management Journal

View full text Add to dashboard Cite

Research Summary: This paper presents a formal model of how higher-order resources affect profit persistence. Higherorder resources provide an abstract representation of dynamic capabilities, and are defined as resources that do not affect profit directly, but can affect other resources that in turn affect profit over time. The model shows that higherorder resources lead to persistence not only in the level of profit, but also in its growth. Estimation of the model using empirical profit data of more than 4,000 U.S. firms over 30 years implies an average duration of competitive advantage of about 18 years, which is almost four times as long as implied by traditionally used autoregressive models that exclude the effect of higher-order resources. Managerial Summary: If firms want to make more profit than their competitors for prolonged periods of time, they must have access to resources that competitors cannot effectively obtain, such as brands, patents, captive customers, or specialized plants. This paper shows that not only these "operating resources" drive long-term profit differences across firms, but also "higher-order resources," such as strategic planning, M&A capabilities, and superior forecasts. Such higher-order resources do not affect profits directly, but allow firms to obtain superior operating resources over time. A mathematical model incorporating higher-order resources suggests an average duration of competitive advantage of about 18 years, almost four times as long as implied by traditionally used models. K E Y W O R D Sformal foundations of strategy, profit persistence, resource based view, dynamic capabilities, Bayesian analysis

show abstract

Changes in Persistence of Performance Over Time

Cited by 7 publications

References 79 publications

Long memory and data frequency in financial markets

Long memory and data frequency in financial markets

Cog in the wheel: Resource release and the scope of interdependencies in corporate adjustment activities

Performance persistence in the presence of higher‐order resources

Contact Info

Product

Resources

About