A Model of Investment Under Interest Rate Uncertainty
نویسندگان
چکیده
منابع مشابه
Irreversible capital accumulation under interest rate uncertainty
We consider the optimal sequential irreversible investment policy of a value maximizing firm facing decreasing returns to scale and interest rate uncertainty. We characterize the optimal accumulation policy and its value for a broad class of interest rate models by focusing on the marginal investment decision and deriving the marginal value of capital. We also state a set of conditions under wh...
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This paper empirically analyzes the non-monotonic influence that interest rate changes have on irreversible investment in income producing properties. Using the complete history of quarterly capital improvements for 1,416 commercial properties over the 1978 to 2009 period, we find strong evidence of the non-monotonic effect for apartment, office, and retail properties, but not for industrial pr...
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The current extensive literature on irreversible investment decisions makes the assumption of constant interest rate. In this paper we study the impact of interest rate and revenue variability on the decision to carry out an irreversible investment project. Given the generality of the considered valuation problem, we first provide a thorough mathematical characterization of the problem and deve...
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Most of the literature on real options considers the optimal decision of a firm in isolation from competitors. In reality, however, the actions of competing firms often affect each other’s investment opportunities. We develop a game model where many firms compete for a single investment opportunity. When one of the firms triggers the investment the opportunity is completely lost for the other f...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 1974
ISSN: 0020-6598
DOI: 10.2307/2525742