Quaderni IRCrES-CNR     
(2023) n. 18

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Statistical characteristics of some accounting time series

Franco Varetto

CNR-IRCrES, Consiglio Nazionale delle Ricerche – Istituto di Ricerca sulla Crescita Economica Sostenibile, Strada delle Cacce 73, 10135 Torino, Italia

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This research is devoted to a general analysis of long-term accounting time series from Dati Cumulativi of Mediobanca, 1989-2021. After a methodological introduction and a literature survey, the statistical study has been organized around two great sections: in the first have been analyzed the statistical characteristics of 61 accounting series about profit and loss accounts, balance sheets, financial flows, and typical ratios. The results have confirmed that stock variables have more memory than flow variables, with mixed evidence about ratios. In the second great section has been studied the persistence of seven profitability ratios for each of the 22 economic sectors that compose the Dati Cumulativi. The persistence of profitability has been examined using autoregressive models of first order, whose results have been confirmed by three other approaches: non-parametric statistics, transition matrices and binomial lattices.

Keywords: Accounting Ratios, Accounting Time Series, Profit Persistence, Time Series Econometrics, ARIMA, Ornstein-Uhlenbeck Models, Linear Regressions.

JEL codes: C22, C32, C53, L25, L60, L70, L80, L90, M41


DOI: 10.23760/2499-6661.2023.18

ISBN: 978-88-98193-33-2

ISSN (online): 2499-6661


How to Cite

Varetto, F. (2023). Caratteristiche statistiche di alcune serie storiche contabili. Quaderni IRCrES 18. CNR-IRCrES. http://dx.doi.org/10.23760/2499-6661.2023.18     

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