Investment under uncertainty and time-inconsistent preferences

• 成果类型: Article
• 署名作者: Grenadier, Steven R.; Wang, Neng
• 署名单位: Columbia University; Stanford University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.01.002
• 发表日期: 2007
• 页码: 2-39
• 关键词: irreversible investment; hyperbolic discounting; time inconsistency; Real options

摘要

While standard real options models assume that agents possess a constant rate of time preference, there is substantial evidence that agents are impatient about choices in the short term but are patient when choosing between long-term alternatives. We extend the real options framework to model the investment-timing decisions of entrepreneurs with time-inconsistent preferences. The impact on investment-timing depends on such factors as whether entrepreneurs are sophisticated or naive in their expectations regarding their future time-inconsistent behavior, and whether the payoff from investment occurs all at once or over time. The model is extended to the case of a competitive equilibrium. (c) 2006 Published by Elsevier B.V.