Dynamic Capital Structure Adjustment and the Impact of Fractional Dependent Variables
研究发现，用债务比率等有界分数作为因变量时，常用估计量会严重偏差；本文提出一个无偏估计量，适用于资本结构及其他公司金融研究。
Abstract Researchers in empirical corporate finance often use bounded ratios (e.g., debt ratios) as dependent variables in their regressions. Using the example of estimating the speed of adjustment toward target leverage, we show by Monte Carlo and resampling experiments that commonly applied estimators yield severely biased estimates, as they ignore that debt ratios are fractional (i.e., bounded between 0 and 1). We propose a new unbiased estimator for adjustment speed in the presence of fractional dependent variables that also controls for unobserved heterogeneity and unbalanced panel data. This new estimator is suitable for corporate finance applications beyond capital structure research.