Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287149 
Year of Publication: 
2021
Citation: 
[Journal:] Review of Accounting Studies [ISSN:] 1573-7136 [Volume:] 26 [Issue:] 2 [Publisher:] Springer US [Place:] New York, NY [Year:] 2021 [Pages:] 772-814
Publisher: 
Springer US, New York, NY
Abstract: 
This paper investigates how data requirements often encountered in archival accounting research can produce a data-restricted sample that is a non-random selection of observations from the reference sample to which the researcher wishes to generalize results. We illustrate the effects of non-random sampling on results of association tests in a setting with data on one variable of interest for all observations and frequently-missing data on another variable of interest. We develop and validate a resampling approach that uses only observations from the data-restricted sample to construct distribution-matched samples that approximate randomly-drawn samples from the reference sample. Our simulation tests provide evidence that distribution-matched samples yield generalizable results. We demonstrate the effects of non-random sampling in tests of the association between realized returns and five implied cost of equity metrics. In this setting, the reference sample has full information on realized returns, while on average only 16% of reference sample observations have data on cost of equity metrics. Consistent with prior research (e.g., Easton and Monahan The Accounting Review 80, 501–538, 2005), analysis using the unadjusted (non-random) cost of equity sample reveals weak or negative associations between realized returns and cost of equity metrics. In contrast, using distribution-matched samples, we find reliable evidence of the theoretically-predicted positive association. We also conceptually and empirically compare distribution-matching with multiple imputation and selection models, two other approaches to dealing with non-random samples.
Subjects: 
Non-random sampling
Distribution matching
Multiple imputation
Resampling
Cost of equity
Realized returns
JEL: 
M41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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