Asymmetric mean reversion in corporate profits

Bradley T. Ewing, Mark A. Thompson

Research output: Contribution to journalArticlepeer-review

4 Scopus citations


This article applies the Enders and Granger (1998) unit root test against the stationary alternative with asymmetric adjustment to after-tax corporate profits. Both the standard Dickey-Fuller (1981) model and the momentum threshold autoregressive (MTAR) model reject the null hypothesis of a unit root; however, asymmetric mean reversion is found with the MTAR model. The findings are consistent with economic theories of entry and exit and traditional competitive macroeconomic models.

Original languageEnglish
Pages (from-to)935-938
Number of pages4
JournalApplied Economics Letters
Issue number13
StatePublished - Oct 2007


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