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

Abstract

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

Suggested Citation

Minami, Seiji and Wakatsuki, Tetsuroh, Low Volatility of Roe Is a Proxy for Sustainability of Roe: Earnings Quality in Japan (August 12, 2014). Available at SSRN: https://ssrn.com/abstract=2480179 or http://dx.doi.org/10.2139/ssrn.2480179

Seiji Minami (Contact Author)

Resona Bank ( email )

Fukagawa Gatharia W2
5-65, Kiba 1-Chome
Tokyo, 135-8581
Japan

Tetsuroh Wakatsuki

Resona Bank ( email )

Tokyo
Japan

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