This paper re-evaluates the time series properties of financial ratios. It presents new empirical analysis which explicitly allows for the possibility that financial ratios can be characterized as non-linear mean-reverting processes. Financial ratios are widely employed as explanatory variables...

The generally accepted factors that determine the bid-ask spread are volatility, trading volume and market value (<link rid="b2">Atkins and Dyl, 1997</link>; <link rid="b11">Glosten and Harris, 1988</link>; and <link rid="b22">Menyah and Paudyal, 2000</link>). Following <link rid="b19">Kim and Verrecchia (1994)</link> we include a measure of the disagreement in analysts' earnings...