Details

Autor(en) / Beteiligte

• Cohn, Jonathan B.
• Liu, Zack
• Wardlaw, Malcolm I.

Titel

Count (and count-like) data in finance

Ist Teil von

• Journal of financial economics, 2022-11, Vol.146 (2), p.529-551

Ort / Verlag

Elsevier B.V

Erscheinungsjahr

2022

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• This paper assesses different econometric approaches to working with count-based outcome variables and other outcomes with similar distributions, which are increasingly common in corporate finance applications. We demonstrate that the common practice of estimating linear regressions of the log of 1 plus the outcome produces estimates with no natural interpretation that can have the wrong sign in expectation. In contrast, a simple fixed-effects Poisson model produces consistent and reasonably efficient estimates under more general conditions than commonly assumed. We also show through replication of existing papers that economic conclusions can be highly sensitive to the regression model employed.