Brauer, Sebastian; Westermann, Frank - In: Review of Quantitative Finance and Accounting 41 (2013) 1, pp. 111-129
In this note we propose an alternative test specification for Basu’s (<CitationRef CitationID="CR9">1997</CitationRef>) time series measure of conservatism that is related to the threshold unit root test of Enders and Granger (<CitationRef CitationID="CR18">1998</CitationRef>). We argue that a regression of changes in earnings on the lagged levels—rather than lagged changes—,...</citationref></citationref>