On the use of instrumental variables in accounting research

• 成果类型: Article
• 署名作者: Larcker, David F.; Rusticus, Tjomme O.
• 署名单位: Stanford University; Northwestern University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2009.11.004
• 发表日期: 2010
• 关键词: economic consequences; earnings management; weak instruments; market valuation; DISCLOSURE LEVEL; CONFERENCE CALLS; VALUE-RELEVANCE; cost; INFORMATION; determinants

摘要

Instrumental variable (IV) methods are commonly used in accounting research (e.g., earnings management, corporate governance, executive compensation, and disclosure research) when the regressor variables are endogenous. While IV estimation is the standard textbook solution to mitigating endogeneity problems, the appropriateness of IV methods in typical accounting research settings is not obvious. Drawing on recent advances in statistics and econometrics, we identify conditions under which IV methods are preferred to OLS estimates and propose a series of tests for research studies employing IV methods. We illustrate these ideas by examining the relation between corporate disclosure and the cost of capital. (C) 2009 Elsevier B.V. All rights reserved.