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Financial Ratio Cross‐section Dynamics: a Non‐parametric Approach

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  • Jozef, Filip Konings Roodhooft

Abstract

This study introduces a non‐parametric approach to study the cross‐sectional dynamic behaviour of financial ratios and to test their convergence. A non‐parametric Markov transition matrix approach is used to consider the evolution of the entire cross‐section distribution. Conclusions with respect to the convergence of financial ratios are derived from the ergodic distributions. The results demonstrate high intra‐distribution mobility with more persistence in the smallest and the largest size classes. Furthermore we find no convergence towards the industry average.

Suggested Citation

  • Jozef, Filip Konings Roodhooft, 1997. "Financial Ratio Cross‐section Dynamics: a Non‐parametric Approach," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(9‐10), pages 1331-1342, October.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:9-10:p:1331-1342
    DOI: 10.1111/1468-5957.00165
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    Cited by:

    1. Miroslava Vlčková & Tomáš Buus, 2021. "Some Statistical Properties of Models of Transitory Earnings," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 69(2), pages 189-198.

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