Monte Carlo simulations and capital structure research

Chang, Xin and Dasgupta, Sudipto 2011, Monte Carlo simulations and capital structure research, International review of finance, vol. 11, no. 1, pp. 19-55, doi: 10.1111/j.1468-2443.2011.01126.x.

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Title Monte Carlo simulations and capital structure research
Author(s) Chang, XinORCID iD for Chang, Xin
Dasgupta, Sudipto
Journal name International review of finance
Volume number 11
Issue number 1
Start page 19
End page 55
Total pages 37
Publisher Wiley-Blackwell
Place of publication Oxford, Eng.
Publication date 2011-03-02
ISSN 1369-412X
Summary The evolution of the debt ratio under alternative types of managerialbehavior can generate non-standard leverage processes. This createsproblems 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.
Language eng
DOI 10.1111/j.1468-2443.2011.01126.x
Field of Research 150205 Investment and Risk Management
1502 Banking, Finance And Investment
Socio Economic Objective 970115 Expanding Knowledge in Commerce
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2011, The Authors
Persistent URL

Document type: Journal Article
Collections: Faculty of Business and Law
Department of Finance
2018 ERA Submission
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