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
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
收藏
页码:860 / 867
页数:8
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