FINANCIAL RATIO ADJUSTMENT DYNAMICS AND INTEREST RATE EXPECTATIONS
重新审视财务比率调整模型，通过动态调整速度和联合估计捕捉行业效应，发现利率预期变化影响超过三分之一样本公司的调整速度。
This paper re‐examines the financial ratio adjustment model by (1) respecifying the model such that the speed of adjustment coefficient follows a dynamic adjustment process in response to some kind of economic shocks, and (2) proposing a joint estimation of firms within the same industry to capture unobservable industry effects. Examining six financial ratios within seven industries that contain 85 firms, our results reveal that a joint estimation method substantially improves the traditional model based upon an OLS method and that economic shocks, measured by changes in interest rate expectations, affect the speed of adjustment coefficients for over one‐third of the sampling firms.