Monte Carlo simulations and capital structure research

Chang, Xin and Dasgupta, Sudipto (2011) Monte Carlo simulations and capital structure research. International Review of Finance, 11 (1). pp. 19-55. ISSN 1468-2443

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Abstract

The evolution of the debt ratio under alternative types of managerial behavior can generate non-standard leverage processes. This creates problems for statistical inference in empirical capital structure research. We argue in this paper that when the data generating process is not standard, a useful way to evaluate the appropriateness of inferences and the empirical methodology is via Monte Carlo simulations that mimic the data generating process under alternative assumptions about managerial behavior. We illustrate with several examples

Item Type:
Journal Article
Journal or Publication Title:
International Review of Finance
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
74528
Deposited By:
Deposited On:
06 Jul 2015 10:26
Refereed?:
Yes
Published?:
Published
Last Modified:
03 Mar 2020 08:39