Financial Ratio Cross‐section Dynamics: a Non‐parametric Approach
用非参数马尔可夫转移矩阵方法研究财务比率的截面动态行为，检验其收敛性，发现分布内流动性高但小和大规模类别更持久，且未向行业均值收敛。
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.