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| Author: | Rhys, H. Tippett, M. |
| Title: | On the "steady state" properties of financial ratios |
| Journal: | Accounting and Business Research
1993 : AUTUMN, VOL. 23:92, p. 500-510 |
| Index terms: | BUSINESS RATIOS STEADY STATE MODELS PROPERTY |
| Language: | eng |
| Abstract: | This paper uses the methods of continuous time stochastic calculus to investigate the "steady state" properties of financial ratios. Basing their analysis on previous work in the area, the authors show that, if a financial ratio can be characterised as a diffusion process which possesses an asymptotic equilibrium, then the Fokker-Kolmogorov-Planck forward equation may be used to "retrieve" its probability density. The approach is "flexible" enough to incorporate a wide variety of density functions, many of which have not been investigated in the literature. |
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