Investment dynamics with common and private values

• 成果类型: Article
• 署名作者: Levin, Dan; Peck, James
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.02.001
• 发表日期: 2008
• 页码: 114-139
• 关键词: Endogenous timing; herding; reversal; Multi-dimensional signals

摘要

We study a dynamic investment game with two-dimensional signals, where each firm observes its continuously distributed idiosyncratic cost of investment and a discrete signal correlated with common investment returns. We demonstrate that the one-step property holds and provide an equilibrium existence/characterization result. Reversals are possible, where a large number of firms investing in a given round becomes bad news about investment returns. Welfare is compared to static and rigid-timing benchmarks, and computed for large economies. (C) 2008 Elsevier Inc. All rights reserved.