Learning and payoff externalities in an investment game

• 成果类型: Article
• 署名作者: Margaria, Chiara
• 署名单位: Boston University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2019.11.006
• 发表日期: 2020
• 页码: 234-250
• 关键词: irreversible investment; Payoff externalities; war of attrition; Real option

摘要

This paper examines the interplay of informational and payoff externalities in a two-player irreversible investment game. Each player learns about the quality of his project by observing a private signal and the action of his opponent. I characterize the unique symmetric equilibrium in a timing game that features a second-mover advantage, allowing for arbitrary correlation in project qualities. Despite private learning, the game reduces to a stochastic war of attrition. In contrast to the case of purely informational externalities, all investments happen at the same real time instant-irrespective of the sign of the correlation-and beliefs never get trapped in a no-learning region, provided that the second-mover advantage is sufficiently high. (C) 2019 Elsevier Inc. All rights reserved.