Persistencia y capacidad predictiva de márgenes y rotaciones. un análisis empírico

Persistence and predictive ability of margin and turnover. an empirical analysis


  • Juan Monterrey Universidad de Extremadura
  • Amparo Sánchez-Segura Universidad de Extremadura
Palabras clave: persistencia, capacidad predictiva, Análisis de Estados Financieros


En el presente trabajo abordamos el estudio empírico de la persistencia y capacidad predictiva de los componentes margen y rotación de la rentabilidad. A partir de una amplia muestra de compañías españolas, hemos documentado cómo la persistencia de la rotación es superior a la del margen, y cómo los componentes anormales de margen y rotación son menos persistentes que sus componentes sectoriales. Con relación a la capacidad predictiva, nuestros hallazgos confirman que el poder de predicción del margen es más elevado que el de la rotación, aunque su persistencia sea menor. Al separar los componentes sectorial y anormal de margen y rotación hemos comprobado cómo los componentes anormales muestran una capacidad predictiva superior a los componentes sectoriales. Los análisis complementarios muestran el distinto poder predictivo según el signo positivo o negativo de márgenes y rotaciones anormales, y según el signo del resultado, así como la robustez de nuestros hallazgos.


Los datos de descargas todavía no están disponibles.


[Abarbanell and Bushee, 1997] J. Abarbanell, B. Bushee. Fundamental analysis, future earnings, and stock prices. Journal of Accounting Research, 35 (1997), pp. 1-24

[Anderson et al., 2004] R.C. Anderson, S.A. Mansi, D.M. Reeb. Board characteristics, accounting report integrity, and the cost of debt. Journal of Accounting and Economics, 37 (2004), pp. 315-342

[Baginski et al., 1999] S.P. Baginski, K.S. Lorek, G.L. Willinger, B.C. Branson. The relationship between economic characteristics and alternative annual earnings persistence measures. Accounting Review, 74 (1999), pp. 105-120

[Bain, 1951] J.S. Bain. Relationship of profit rate to industry concentration in American manufacturing 1936-1940. Quarterly Journal of Economics, 65 (1951), pp. 293-324

[Barnes, 1982] P. Barnes. Methodological implications of non-normality distributed financial ratios. Journal of Business, Finance & Accounting, 9 (1982), pp. 51-62

[Brooks and Buckmaster, 1976] L.D. Brooks, D.A. Buckmaster. Further evidence on the time series properties of accounting income. Journal of Finance, 31 (1976), pp. 1359-1373

[Collins and Hribar, 2002] D.W. Collins, P. Hribar. Errors in estimating accruals: Implications for empirical research. Journal of Accounting Research, 40 (2002), pp. 105-134

[William and Comanor, 1967] S. William, W.S. Comanor. Market structure, product differentiation, and industrial research. Quarterly Journal of Economics, 81 (1967), pp. 639-657

[Cubbin and Geroski, 1987] J. Cubbin, P.A. Geroski. The convergence of profits in the long run: Inter-firm and inter-industry comparisons. Journal of Industrial Economics, 35 (1987), pp. 427-442

[Dechow and Patricia, 1994] Dechow, M. Patricia. Accounting earnings and cash flows as measures of firm performance. The role of accounting accruals. Journal of Accounting and Economics, 18 (1994), pp. 3-42

[Dechow and Dichev, 2002] P.M. Dechow, I.D. Dichev. The quality of accruals and earnings: The role of accruals estimation errors. Accounting Review, 77 (2002), pp. 35-59

[Dichev and Tang, 2008] I.D. Dichev, V.W. Tang. Earnings volatility and earnings predictability. Journal of Accounting and Economics, 47 (2008), pp. 160-181

[Fairfield and Yohn, 2001] P.M. Fairfield, T.L. Yohn. Using asset turnover and profit margin to forecast changes in profitability. Review of Accounting Studies, 6 (2001), pp. 371-385

[Fairfield et al., 2009] P.M. Fairfield, S. Ranmath, T.L. Yohn. Does industry-level analysis improve profitability and growth forecasts?. Journal of Accounting Research, 47 (2009), pp. 147-178

[Fairfield et al., 2003] P.M. Fairfield, S. Whisenant, T.L. Yohn. Accrued earnings and growth: Implications for earnings persistence and market mispricing. Accounting Review, 78 (2003), pp. 353-371

[Fama and French, 2000] E.F. Fama, K.R. French. Forecasting profitability and earnings. Journal of Business, 73 (2000), pp. 161-175

[Fama and French, 1997] E.F. Fama, K.R. French. Industry cost of equity. Journal of Financial Economics, 43 (1997), pp. 153-193

[Francis et al., 2004] J. Francis, R. LaFond, P. Olsson, K. Schipper. Costs of equity and earnings attributes. Accounting Review, 79 (2004), pp. 967-1010

[Frankel and Litov, 2008] R. Frankel, L. Litov. Earnings persistence. Journal of Accounting and Economics, 47 (2008), pp. 182-190

[Freeman et al., 1982] R.N. Freeman, J.A. Ohlson, S.H. Penman. Book rate-of-return and prediction of earnings changes: An empirical investigation. Journal of Accounting Research, 20 (1982), pp. 639-653

[Geroski and Jacquemin, 1988] P.A. Geroski, A. Jacquemin. The persistence of profits: A European comparison. The Economic Journal, 98 (1988), pp. 375-389

[Giacomini and White, 1996] R. Giacomini, H. White. Tests of conditional predictive ability. Econometrica, 74 (1996), pp. 1545-1578

[Gow et al., 2010] I.D. Gow, G. Ormazábal, D.J. Taylor. Correcting for cross-sectional and timeseries dependence in accounting research. Accounting Review, 85 (2010), pp. 483-512

[Íñiguez and Poveda, 2008] R. Íñiguez, F. Poveda. Persistencia del resultado contable y sus componentes: implicaciones de la medida de ajustes por devengo. Revista Española de Financiación y Contabilidad, 37 (2008), pp. 33-61

[Jacobson, 1988] R. Jacobson. The persistence of abnormal returns. Strategic Management Journal, 9 (1988), pp. 415-430

[Kim and Kross, 2005] M.S. Kim, W. Kross. The ability of earnings to predict future operating cash flows has been increasing – not decreasing. Journal of Accounting Research, 43 (2005), pp. 753-780

[Klein, 2002] A. Klein. Audit committees, board of director characteristics and earnings management. Journal of Accounting and Economics, 33 (2002), pp. 375-400

[Lev and Sunder, 1979] B. Lev, S. Sunder. Methodological issues in the use of financial ratios. Journal of Accounting and Economics, 1 (1979), pp. 319-345

[Lev and Thiagarajan, 1993] B. Lev, S.R. Thiagarajan. Fundamental information analysis. Journal of Accounting Research, 31 (1993), pp. 190-215

[Mark, 1995] N.C. Mark. Exchange rates and fundamentals: Evidence on long-horizon predictability. American Economic Review, 85 (1995), pp. 201-218

[Meese and Rogoff, 1988] R. Meese, K. Rogoff. Was it real? The exchange rate-interest differential relation over the modern floating-rate period. Journal of Finance, 43 (1988), pp. 933-948

[Minton et al., 2002] B.A. Minton, K.M. Schrand, B.R. Walther. The role of volatility in forecasting. Review of Accounting Studies, 7 (2002), pp. 195-215

[Monterrey and Sánchez Segura, 2008] J. Monterrey, A. Sánchez Segura. Gobierno Corporativo y calidad de la información contable: evidencia empírica española. Revista de Contabilidad, 11 (2008), pp. 65-98

[Mueller, 1977] D.C. Mueller. The persistence of profits above the norm. Economica, 44 (1977), pp. 369-380

[Mueller, 1986] D.C. Mueller. Profits in the Long Run. Cambridge University Press, (1986)

[Nissim and Penman, 2001] D. Nissim, S.H. Penman. Ratio analysis and equity valuation: From research to practice. Review of Accounting Studies, 6 (2001), pp. 109-154

[Petersen, 2009] M. Petersen. Estimating standard errors in finance panel data sets: Comparing approaches. Review of Financial Studies, 22 (2009), pp. 435-480

[Pivetta and Reis, 2007] F. Pivetta, R. Reis. The persistence of inflation in the United States. Journal of Economic Dynamics and Control, 31 (2007), pp. 1326-1358

[Reverte, 2002] C. Reverte. Evidencia empírica sobre la utilidad de la información financiera para la predicción de los resultados futuros. Revista Española de Financiación y Contabilidad, 31 (2002), pp. 189-224

[Richardson et al., 2005] S.A. Richardson, R.G. Sloan, M.T. Soliman, I. Tuna. Accrual reliability, earnings persistence and stock prices. Journal of Accounting and Economics, 39 (2005), pp. 437-485

[Ruiz Barbadillo et al., 2006] E. Ruiz Barbadillo, N. Gómez Aguilar, N. Carrera Pena. Evidencia empírica sobre el efecto de la duración del contrato en la calidad de la auditoría: análisis de las medidas de retención y rotación obligatoria de auditores. Investigaciones Económicas, 30 (2006), pp. 283-316

[Sánchez Segura, 1994] A. Sánchez Segura. La rentabilidad económica y financiera de la gran empresa española: Análisis de los factores determinantes. Revista Española de Financiación y Contabilidad, 24 (1994), pp. 159-179

[Selling and Stickney, 1989] T.I. Selling, C.P. Stickney. The effects of business environment and strategy on a firm's rate of return on assets. Financial Analysts Journal, 45 (1989), pp. 43-52

[Sloan, 1996] R.G. Sloan. Do stock prices fully reflect information in accruals and cash flows about future earnings?. Accounting Review, 71 (1996), pp. 289-315

[Schmalensee and Richard, 1985] Schmalensee, Richard. Do markets differ much?. American Economic Review, 75 (1985), pp. 341-351

[Soliman, 2004] M.T. Soliman. Using industry-adjusted DuPont analysis to predict future profitability. documento de trabajo, Stanford University, (2004),

[Soliman, 2008] M.T. Soliman. The use of DuPont analysis by market participants. Accounting Review, 82 (2008), pp. 3-53

[Stigler, 1963] G.J. Stigler. Capital and rates of return in manufacturing industries. Princeton University Press, Princeton, (1963)

[Watts and Zimmerman, 1978] R.L. Watts, J.L. Zimmerman. Towards a positive theory of the determination of accounting standards. Accounting Review, 53 (1978), pp. 112-134

[White, 1980] H. White. A heteroskedasticity-consistent covariance matrix and a direct test for heteroskedasticity. Econometrica, 48 (1980), pp. 817-838

[Xie, 2001] H. Xie. The mispricing of abnormal accruals. Accounting Review, 76 (2001), pp. 357-373

Cómo citar
Monterrey, J., & Sánchez-Segura, A. (2011). Persistencia y capacidad predictiva de márgenes y rotaciones. un análisis empírico: Persistence and predictive ability of margin and turnover. an empirical analysis. Revista de Contabilidad - Spanish Accounting Review, 14(1), 121–153.