Regression analysis of proportions in finance with self selection

Douglas O. Cook, Robert Kieschnick and B D McCullough ()

Journal of Empirical Finance, 2008, vol. 15, issue 5, pages 860-867

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.

Keywords: Proportions; Zero-inflated; beta; Capital; structure (search for similar items in EconPapers)
Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:15:y:2008:i:5:p:860-867

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