An equilibrium model of investment under uncertainty

• 成果类型: Article
• 署名作者: Novy-Marx, Robert
• 署名单位: University of Chicago
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/revfin/hhm013
• 发表日期: 2007
• 页码: 1461
• 关键词: asset prices; real-options; preemption; valuation; exercise; ventures; ECONOMY

摘要

We analyze the optimal investment decisions of heterogeneous firms in a competitive, uncertain environment, characterizing firms' investment strategies explicitly and deriving closed-form solutions for firm value. Real option premia remain significant, and are even unmitigated relative to the standard partial-equilibrium model when both are calibrated to observables. Firms consequently delay investment, choosing not to undertake some positive NPV projects. We compare competitive behavior to that of a strategic monopolist, and quantify the welfare loss associated with monopoly. Finally, the model predicts business cycle dependence on firm returns, with returns negatively skewed during industry expansions but positively skewed in industry recessions.