Persistencia de la rentabilidad en las empresas del mercado de capitales de Argentina
Palabras clave:
Persistencia de la rentabilidad, Reversión a la media, Concentración, Economías emergentes
Resumen
Este estudio intenta efectuar un aporte a la discusión de la persistencia y, por consiguiente, de la reversión a la media de la rentabilidad en las empresas del Mercado de Capitales de Argentina, la mayor parte grandes empresas. Investigaciones previas rechazan la hipótesis de un ambiente competitivo y de una rápida convergencia a la media de la rentabilidad en las economías desarrolladas. En cambio, los estudios en economías emergentes no son coincidentes respecto al grado de persistencia de la rentabilidad. En economías turbulentos, como la argentina, se esperaría un rápido proceso de reversión a la media; no obstante, las grandes empresas tienen una mayor capacidad para sortear las crisis económicas. Para la estimación de la persistencia se aplicó el método de momentos generalizados (GMM), debido a que es más adecuado cuando existen problemas de endogeneidad.
Las empresas del mercado de capitales argentino muestran una importante persistencia de la rentabilidad, un ambiente no competitivo y concentración económica. El proceso de reversión a la media es incompleto y las empresas con rentabilidad por debajo de la media no revisten rápidamente a esta, lo cual indicaría fallas en el funcionamiento del mercado.
Citas
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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.
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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.
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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.
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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
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Resende, M. (2006). Profit persistence in Brazil: a panel data study. Estudos Econômicos (São Paulo), 36(1), 115-126.
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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.
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.
