Regression analysis of proportions in finance with self selection
AbstractNumerous 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 15 (2008)
Issue (Month): 5 (December)
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Web page: http://www.elsevier.com/locate/jempfin
Proportions Zero-inflated beta Capital structure;
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