Low Volatility of Roe Is a Proxy for Sustainability of Roe: Earnings Quality in Japan
5 Pages Posted: 15 Aug 2014
Date Written: August 12, 2014
ROE of firm is known to revert to its mean level in the future. In this study we will show that speed of mean reversion of ROE depends on historical volatility of ROE from data of Japanese equity. It indicates that (low) volatility of historical ROE is important factor for earnings quality in Japan.
Keywords: Earnings Quality, Volatility of ROE
JEL Classification: M40, M41, G12, G10
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