Regression analysis of proportions in finance with self selection

被引：134

作者：

Cook, Douglas O. ^{[2
]}

Kieschnick, Robert ^{[1
]}

McCullough, B. D. ^{[3
]}

机构：

[1] Univ Texas Dallas, Richardson, TX 75080 USA

[2] Univ Alabama, Culverhouse Coll Business, Dept Econ Finance & Legal Studies, Tuscaloosa, AL 35487 USA

[3] Drexel Univ, LeBow Coll Business, Philadelphia, PA 19104 USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2008年 / 15卷 / 05期

关键词：

Proportions; Zero-inflated beta; Capital structure;

D O I：

10.1016/j.jempfin.2008.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Numerous papers in finance study the conditional mean of some proportion or fraction with a mass point at zero. We argue that most, if not all, of these studies use mis-specified statistical models, especially when firms or individuals choose to not do something for different reasons. To address these issues, we develop a new statistical model, the zero-inflated beta model, and apply it to the analysis of corporate capital structure decisions to demonstrate its applicability. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：860 / 867

页数：8

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