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Box-Cox Transformation Principle and Its Application in Normal Distribution of Financial Ratios

《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

Issue:
2005年05期
Page:
127-130
Research Field:
Publishing date:

Info

Title:
Box-Cox Transformation Principle and Its Application in Normal Distribution of Financial Ratios
Author(s):
XUE Yue~1SHENG Dang-hong~2
1.School of Economics and Management,Nanjing University of Technology,Nanjing 210009,China;2.Departmant of Automation,Nanjing Institute of Technolgoy,Nanjing 210013,China
Keywords:
financial rat ios normal distribut ion Box-Cox transformation
PACS:
F230;
DOI:
-
Abstract:
Based on the research of 12 financial ratios of more than 5 571 annual reports from 1 100 listed companies (Shanghai Stock Exchange and Shenzhen Stock Exchange) in the years of 1998~ 2002, this paper concludes that most of the financial ratios are not normal distribution and the level of normality can be highly promoted through data cleaning and data transformation ( such as Box-Cox transformat ion) on the basis of the industry samples. The normal transformation process shows that a few financial ratios can not be normalized.

References:

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[ 2] Martikainen T. A note on the cross- sectional properties of f-i nancial ratio distribution[ J] . Omega, 1991, 19( 5) : 498- 501.
[3] Medimore C D. Some empirical distributions of financial ratios [ J] . Management Accounting, 1968, 50( 1) : 13- 16.
[ 4] Sudarsanam P S, Taffler R J. Financial ratio proportionality and inter-temporal stability: An empirical analysis[ J] . Journal of Banking and Finance, 1995, 38: 45- 60.
[ 5] Barnes P. Methodological implications of non- normally distributed financial ratios [ J] . Journal of Business Finance and Accounting, 1982, 9( 1) : 51- 62.

Memo

Memo:
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Last Update: 2013-05-29