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Kurtosis and the Distribution of Accounting Ratios

Article Quant Q&A · Author: FX_NINJA
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Summary

The document asks whether any established financial ratios involve kurtosis and seeks academically discussed examples. The response does not name a particular ratio that uses kurtosis as an explicit component. Instead, it directs readers to a paper section on the distributions of accounting ratios and makes a brief claim about their distributional properties, including skewness and relationships among accounting data.

The exchange therefore points toward distributional analysis of accounting ratios rather than identifying a universally accepted kurtosis-based ratio. It supplies no definitions, derivations, calculations, or evidence from the referenced paper itself, so the claim cannot be evaluated from this text alone. A reader looking for an established ratio incorporating kurtosis would need to consult the cited research and distinguish that question from the broader study of skewness, moments, and ratio distributions.

Key ideas

  • The question seeks established financial ratios that explicitly involve kurtosis.
  • The reply points to research on the distributions of accounting ratios.
  • The response discusses skewness and dependencies in accounting data, but names no kurtosis-based ratio.
  • The document does not include enough detail to assess the referenced paper’s conclusions.

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# What CAPM/Financial ratios involve kurtosis?


# What CAPM/Financial ratios involve kurtosis?












Simple question, what universally accepted financial ratios involve kurtosis? I'm not looking for a made up one. I want something that academics may have discussed.

## Answer by Dave Harris (score 1)

https://quant.stackexchange.com/a/34642

Accounting ratios inherently lack a first moment and are skewed though of course that cannot be measured as a moment. There may be some price ratios that are not skewed, but there shouldn't be any accounting ratios that are not skewed because of the inherent correlation among accounting data.

Go to section six of the paper at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2828744

It discusses the distribution of accounting ratios.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.