Earnings risk and heterogeneous expected earnings profiles

• 成果类型: Article
• 署名作者: Drewianka, Scott; Oberg, Phillip
• 署名单位: University of Wisconsin System; University of Wisconsin Milwaukee
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE1663
• 发表日期: 2025
• 页码: 859-897
• 关键词: Heterogeneous earnings profiles; earnings instability; earnings volatility; RISK; D3; J0

摘要

We add to the debate about whether models of earnings dynamics should allow for unobservable heterogeneity in expected earnings growth rates by examining implications for a statistic originally proposed to estimate the variance of persistent earnings shocks. While that statistic is unbiased under a common specification, we derive biases that would arise under alternative models and use them to draw inferences about their empirical relevance and to estimate key parameters. Most results cast doubt on substantial heterogeneity in growth rates, though some leave room for a modest role. Estimates of shocks' variance and persistence are more robust.