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Regression analysis of proportions in finance with self selection

Author

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  • 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.

Suggested Citation

  • Cook, Douglas O. & Kieschnick, Robert & McCullough, B.D., 2008. "Regression analysis of proportions in finance with self selection," Journal of Empirical Finance, Elsevier, vol. 15(5), pages 860-867, December.
    • Handle: RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867
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    References listed on IDEAS

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