I don't have a study giving you exact numbers, but would guess that a significant majority of B&Bs are renovations of existing historic structures. Several reasons:
1. Tax incentives for renovation of structures on the National Register of Historic Places
2. Location: Beautiful Victorian mansions are often found on busy thoroughfares; they're not desirable as a private home because of traffic, but can make ideal B&Bs.
3. Personal preference: Many innkeers and guests enjoy the historic charms of a century-old home.
On the other hand, many innkeepers have built new buildings as B&Bs and have been very successful if they are savvy marketers and have the financial resources. East Tennessee is an interesting example -- although a beautiful mountain area, it was extremely poor for generations, so there are very few Victorian mansions to restore -- few had the money to build them. As a result, almost all the inns listed here, http://www.bedandbreakfast.com/gatlinburg-tennessee.html, were purpose-built as B&Bs -- there was no housing stock to renovate.
Where are you thinking of opening a B&B? In addition, it's very important to compare the realistic costs of buying an existing property rather than opening a new one,regardless of whether its newly built or renovated.
Hope this helps!
Sandy
Sandy Soule
BedandBreakfast.com
Sandy@BedandBreakfast.com