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

Konings, Jozef

doi:10.1111/1468-5957.00165

Cited by 9 publications

(3 citation statements)

References 8 publications

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“…Watts and Leftwich 1977;Callen, Cheung, Kwan, and Yip 1993). Konings and Roodhooft (1997) question the pertinence of the partial adjustment models in earlier work; and demonstrate that a range of financial ratios show rich dynamics. Tippett and Warnock (1997), implementing a continuous time formulation of the Garman-Ohlson framework, find that the theory allows for the possibility of complex, firmspecific dynamics in the evolution of, inter alia, earnings -including harmonic behaviour.…”

Section: Introductionmentioning

confidence: 79%

Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics

Jackson

2019

The European Journal of Finance

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This paper presents a new and widely applicable nonparametric approach to the characterization of time series dynamics. The approach involves analysis of the incidence of occurrence of patterns in the direction of movement of the series, and may readily be applied to time series data measured on any scale. The paper includes derivations of analytic forms for two (infinite) families of distributions under the null hypothesis of random behaviour, and of a useful analytic form for the generation of the moments of these distributions. The distributions are asymptotically normal, so allowing for straightforward application of the approach presented in the paper to long series of high frequency and/or extended time period data. Areas of application in finance and accounting are suggested.

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Section: Introductionmentioning

confidence: 79%

Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics

Jackson

2019

The European Journal of Finance

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“…Frecka and Lee (1986) or return on investment (ROI), e.g. Konings and Roodhooft (1997)). Because most of the variables in financial statements are proportional to the company size, there is a cointegration between ratio variables.…”

Section: Deflator For Model Of Mr Of Earningsmentioning

confidence: 99%

Some Statistical Properties of Models of Transitory Earnings

Vlčková¹,

Buus²

2021

Acta Univ. Agric. Silvic. Mendelianae Brun.

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The fact that most of the financial ratios are mean-reverting, is well known. Due to the importance of earnings forecast accuracy, relevant scientific literature in this area concentrates on transitory earnings. The main models used for description of earnings and/or profitability time series are adaptive expectation, autoregressive and partial adjustment models. However, their construction implies severe drawbacks like assumption of intentional adjustment of earnings, sometimes even towards unknown target or towards company-specific target uninfluenced by market, instead of rather realistic assumption of random push of market forces, as we found earlier. This paper proposes a model of mechanical mean reversion of earnings (and/or other company financial data, including ratios). Simulation-based tests of accuracy in a cyclical environment and robustness to input variables non-normality show that the proposed model is more accurate and less biased in capturing the reversion of earnings to industry averages, compared to the most commonly used partial adjustment models.

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“…The application of Markov chain analysis (see e.g., Amemiya 1985, Hamilton 1994) is quite suitable for this purpose. In economics and managerial studies this is not a new approach, it has been applied widely in studying a variety of dynamical systems -including those governing industrial populations (e.g., Ezcurra et al, 2006), income distribution (e.g., McCall, 1971;Shorrocks, 1976), growth and regional inequality (e.g., Quah, 1993;Fingleton, 1997;Kremer et al, 2001), finance and accounting (e.g., Cyert et al, 1962;Konings and Roodhooft, 1997), and innovation (e.g., Cefis, 2003). In applying this framework for our present purposes, the appropriate first step is the delineation of a manageably compact "state space" describing an exhaustive set of activity-states into which individuals observed in the SF.net environment during any interval of time can be classified.…”

Section: Markov Chain Analysismentioning

confidence: 99%

Dynamics of innovation in an "open source" collaboration environment: lurking, laboring, and launching FLOSS projects on SourceForge

David¹,

Rullani²

2008

Industrial and Corporate Change

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Accepted for publication in INDUSTRIAL AND CORPORATE CHANGE AbstractA systems analysis perspective is adopted to examine the critical properties of the Free/Libre/Open Source Software (FLOSS) mode of innovation, as reflected on the SourceForge platform (SF.net). This approach re-scales March's (1991) framework and applies it to characterize the "innovation system" of a "distributed organization" of interacting agents in a virtual collaboration environment, rather than to innovation within a firm. March (1991) views the process of innovation at the organizational level as the coupling of sub-processes of exploration and exploitation. Correspondingly, the innovation system of the virtual collaboration environment represented by SF.net is an emergent property of two "coupled" processes: one involves the interactions among agents searching the locale for information and knowledge resources to use in designing novel software products (i.e., exploration), and the other involves the mobilization of individuals' capabilities for application in the software development projects that become established on the platform (i.e., exploitation). The micro-dynamics of this system are studied empirically by constructing transition probability matrices representing the movements of 222,835 SF.net users among 7 different activity states, which range from "lurking" (not contributing or contributing to projects without becoming a member) to "laboring" (joining one or more projects as members), and to "launching" (founding one or more projects) within each successive 6-month interval. The estimated probabilities are found to form first-order Markov chains describing ergodic processes. This makes it possible the computation of the equilibrium distribution of agents among the states, thereby suppressing transient effects and revealing persisting patterns of project-joining and projectlaunching. The latter show the FLOSS innovation system on SF.net to be highly dissipative: a very large proportion of the registered "developers" fail to become even minimally active on the platform. There is nevertheless an active core of mobile project-joiners, and a (still smaller) core of project founders who persist in creating new projects. The structure of these groups' interactions (as displayed within the 3-year period examined) is investigated in detail, and it is shown that it would be sufficient to sustain both the exploration and exploitation phases of the pla...

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

Cited by 9 publications

References 8 publications

Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics

Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics

Some Statistical Properties of Models of Transitory Earnings

Dynamics of innovation in an "open source" collaboration environment: lurking, laboring, and launching FLOSS projects on SourceForge

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