The misuse of regression-based x-Scores as dependent variables

• 成果类型: Article
• 署名作者: Byzalov, Dmitri; Basu, Sudipta
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2023.101643
• 发表日期: 2024
• 关键词: Financial constraints; corporate governance; IMPLIED COST; conservatism; prediction; disclosure; management; QUALITY; ratios; GROWTH

摘要

Researchers often use regression -based x -Scores (e.g., conservatism C -Score, misstatement F -Score) from a stage 1 model as a dependent variable in stage 2. We argue that this x -Score analysis can cause coefficient biases and interpretation problems because (1) x -Score does not capture new sources of variation, and (2) the estimates often hinge on unacknowledged technical assumptions. Instead, we recommend that researchers include the test variables and the relevant controls in stage 1, obviating the need for an x -Score. In replication analyses, some important published findings change after we remove the coefficient bias caused by the use of x -Score as a dependent variable. (c) 2023 Elsevier B.V. All rights reserved.