Generally, the thought of embarking on a PhD research project may seem intimidating, especially in a specialized discipline like accounting. Students usually weigh in the pros and cons to know whether they are prepared for the anticipated rigors involve in executing a PhD research project. Of course, conducting a PhD research can be frustrating sometimes, especially when after writing a beautiful introduction and have done an extensive literature review, you cannot still decipher the best methodological approach to adopt in testing the research hypotheses. Therefore, having a reasonable level of understanding of the whole process of a PhD research may make the experience exciting and not frustrating. In this case study, I have provided a pedagogical account of my PhD research experience in applying inferential statistics in examining the individual, organizational, and situational determinants of the ethical decision-making process of accounting professionals in Nigeria. Specifically, I have discussed my experience on the choice of thesis title, research methods, and some other issues, which include variable measurements, questionnaire design and distribution, and choice of data analytical techniques. I have also provided some insights that may be of help to emerging scholars and research students on how to overcome some of the challenges associated with business ethics research in general.