An equilibrium model of irreversible investment

• 成果类型: Article
• 署名作者: Kogan, L
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00077-0
• 发表日期: 2001
• 页码: 201-245
• 关键词: investment irreversibility; general equilibrium; Leverage effect; Book-to-market

摘要

This paper presents a general equilibrium model of a two-sector production economy with irreversible real investment. Irreversibility of investment is the most prominent feature of the productive sector. It restricts capital accumulation, affecting firms' investment decisions. which in turn determine properties of asset prices. Thus, this model provides a framework for connecting stock returns to firm characteristics that proxy for real economic activity. The primary focus of this paper is on the analysis of the equilibrium and the effects of irreversibility of investment. (C) 2001 Elsevier Science S.A. All rights reserved.