Investment timing and learning externalities

• 成果类型: Article
• 署名作者: Décamps, JP; Mariotti, T
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2003.11.006
• 发表日期: 2004
• 页码: 80-102
• 关键词: real options; duopoly; incomplete information; war of attrition

摘要

We study a duopoly model of investment, in which each player learns about the quality of a common value project by observing some public background information, and possibly the experience of his rival. Investment costs are private information, and the background signal takes the form of a Poisson process conditional on the quality of the project being low. The resulting attrition game has a unique, symmetric equilibrium, which depends on initial public beliefs. We determine the impact of changes in the cost and signal distributions on investment timing, and how equilibrium is affected when a first-mover advantage is introduced. (C) 2003 Elsevier Inc. All rights reserved.