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Regression analysis of proportions in finance with self selection

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Author Info

  • Cook, Douglas O.
  • Kieschnick, Robert
  • McCullough, B.D.

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 15 (2008)
Issue (Month): 5 (December)
Pages: 860-867

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Handle: RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867

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Web page: http://www.elsevier.com/locate/jempfin

Related research

Keywords: Proportions Zero-inflated beta Capital structure;

References

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Citations

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Cited by:
  1. Roberto Antonietti, 2011. "From creativity to innovativeness: micro evidence from Italy," Openloc Working Papers 1117, Public policies and local development.
  2. Villani, Mattias & Kohn, Robert & Nott, David J., 2012. "Generalized smooth finite mixtures," Journal of Econometrics, Elsevier, vol. 171(2), pages 121-133.
  3. Buntaine, Mark T., 2011. "Does the Asian Development Bank Respond to Past Environmental Performance when Allocating Environmentally Risky Financing?," World Development, Elsevier, vol. 39(3), pages 336-350, March.
  4. Latouche, Karine & Rouviere, Elodie, 2012. "Brokers vs. Retailers: Evidence from the French Imports Industry of Fresh Produce," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 123331, Agricultural and Applied Economics Association.
  5. Peter Egger & Christian Keuschnigg & Valeria Merlo & Georg Wamser, 2012. "Corporate Taxes and Internal Borrowing within Multinational Firms," NBER Working Papers 18415, National Bureau of Economic Research, Inc.
  6. Naidu, Sirisha C., 2013. "Legal exclusions, private wealth and livelihoods: An analysis of work time allocation in protected areas," Ecological Economics, Elsevier, vol. 89(C), pages 82-91.
  7. Joaquim Ramalho & J. Silva, 2013. "Functional form issues in the regression analysis of financial leverage ratios," Empirical Economics, Springer, vol. 44(2), pages 799-831, April.
  8. Alexander Eickelpasch, 2014. "R&D Behavior of German Manufacturing Companies during the 2008/09 Recession," Discussion Papers of DIW Berlin 1357, DIW Berlin, German Institute for Economic Research.
  9. Cook, Douglas O. & Tang, Tian, 2010. "Macroeconomic conditions and capital structure adjustment speed," Journal of Corporate Finance, Elsevier, vol. 16(1), pages 73-87, February.
  10. Raffaella Calabrese, 2012. "Regression Model for Proportions with Probability Masses at Zero and One," Working Papers 201209, Geary Institute, University College Dublin.
  11. Ospina, Raydonal & Ferrari, Silvia L.P., 2012. "A general class of zero-or-one inflated beta regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1609-1623.
  12. Owen, Sian & Yawson, Alfred, 2013. "Information asymmetry and international strategic alliances," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3890-3903.
  13. Egger, Peter & Keuschnigg, Christian & Merlo, Valeria & Wamser, Georg, 2011. "Corporate Taxes, Internal Borrowing, and the Lending Capacity within Multinational Firms," Economics Working Paper Series 1142, University of St. Gallen, School of Economics and Political Science.

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