The Speed of Adjustment of Financial Ratios: An Error-in-Variable Problem
指出传统财务比率调整速度的实证研究存在变量误差问题，通过构建随机模型说明推断调整速度的困难。
The traditional literature on financial statement analysis suggests that firms adjust financial ratios to predetermined targets, such as industrywide averages.1 Lev [1969], using the Koyck-Nerlove partial adjustment model, offered evidence that financial ratios slowly adjusted to their industrial means. The purpose of this paper is to show that this type of empirical work may not provide an unambiguous answer regarding the question of how fast financial ratios adjust to their industrial means. I do so by developing a rigorous stochastic model which shows the difficulty of making inferences on the speed of adjustment. The difficulty is due to the inherent error-in-variable problem of financial data. In the next section, I briefly summarize Lev's [1969] work. A model of Markov process of financial ratio is then developed in section 3 and a brief comment and summary appear in section 4.