[1]薛 跃,盛党红.Box-Cox变换原理及其在财务比率正态分布中的作用[J].南京理工大学学报(自然科学版),2005,(05):127-130.
 XUE Yue~,SHENG Dang-hong~.Box-Cox Transformation Principle and Its Application in Normal Distribution of Financial Ratios[J].Journal of Nanjing University of Science and Technology,2005,(05):127-130.
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Box-Cox变换原理及其在财务比率正态分布中的作用
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《南京理工大学学报》(自然科学版)[ISSN:1005-9830/CN:32-1397/N]

卷:
期数:
2005年05期
页码:
127-130
栏目:
出版日期:
2005-10-30

文章信息/Info

Title:
Box-Cox Transformation Principle and Its Application in Normal Distribution of Financial Ratios
作者:
薛 跃1 盛党红2
1 .南京工业大学经济管理学院, 江苏南京210009; 2.南京工程学院自动化系, 江苏南京210.013
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
关键词:
财务比率 正态分布 Box-Cox 变换
Keywords:
financial rat ios normal distribut ion Box-Cox transformation
分类号:
F230;
摘要:
对上海深圳交易所1998~2002年1 100余家公司5 571份年报12个财务比率的综合研究揭示,绝大多数财务比率不服从正态分布且不易变换到接近正态。正态变换实证过程表明:原始财务比率数据经行业划分、剔除污染样本后再进行Box-Cox变换的的正态变换效率最高,可使绝大多数财务比率接近正态分布,但仍有少数比率无法正态化。
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.

参考文献/References:

[ 1] Deakin E B. Distributions of financial accounting ratios: Some empirical evidence[ J] . Accounting Review, 1976, ( 1) : 90- 96.
[ 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.

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备注/Memo

备注/Memo:
作者简介: 薛跃( 1963- ) , 男, 江苏姜堰人, 博士生, 主要研究方向: 质量管理与可靠性工程, E-mail: xuenust@ tom. com。
更新日期/Last Update: 2013-05-29