Home > Research > Publications & Outputs > Monte Carlo simulations and capital structure r...
View graph of relations

Monte Carlo simulations and capital structure research

Research output: Contribution to journalJournal article

Published

Standard

Monte Carlo simulations and capital structure research. / Chang, Xin; Dasgupta, Sudipto.

In: International Review of Finance, Vol. 11, No. 1, 03.2011, p. 19-55.

Research output: Contribution to journalJournal article

Harvard

Chang, X & Dasgupta, S 2011, 'Monte Carlo simulations and capital structure research', International Review of Finance, vol. 11, no. 1, pp. 19-55. https://doi.org/10.1111/j.1468-2443.2011.01126.x

APA

Vancouver

Author

Chang, Xin ; Dasgupta, Sudipto. / Monte Carlo simulations and capital structure research. In: International Review of Finance. 2011 ; Vol. 11, No. 1. pp. 19-55.

Bibtex

@article{5ff65c94fa16475cb4b04a86001bf799,
title = "Monte Carlo simulations and capital structure research",
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",
author = "Xin Chang and Sudipto Dasgupta",
year = "2011",
month = mar,
doi = "10.1111/j.1468-2443.2011.01126.x",
language = "English",
volume = "11",
pages = "19--55",
journal = "International Review of Finance",
issn = "1369-412X",
publisher = "John Wiley and Sons Ltd",
number = "1",

}

RIS

TY - JOUR

T1 - Monte Carlo simulations and capital structure research

AU - Chang, Xin

AU - Dasgupta, Sudipto

PY - 2011/3

Y1 - 2011/3

N2 - 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

AB - 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

U2 - 10.1111/j.1468-2443.2011.01126.x

DO - 10.1111/j.1468-2443.2011.01126.x

M3 - Journal article

VL - 11

SP - 19

EP - 55

JO - International Review of Finance

JF - International Review of Finance

SN - 1369-412X

IS - 1

ER -