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Mining and Quasi-Option Value
Costello, Christopher - 2015
We study the timing-of-extraction problem facing a decentralized mine owner when extraction entails environmental damage. As expected, when the environmental damage from mining is known, the socially optimal timing will depend on the magnitude of the damage relative to these costs in the rest of...
Persistent link: https://www.econbiz.de/10013019516
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Market Valuation of Accrued Social Security Benefits
Geanakoplos, John - 2009
risk. The traditional actuarial approach - the approach currently used by the Social Security Administration in generating … its most widely cited numbers - ignores risk and instead simply discounts "expected" future flows back to the present … using a risk-free rate. If benefits are risky and this risk is priced by the market, then actuarial estimates will differ …
Persistent link: https://www.econbiz.de/10013157914
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Macro, Money and Finance : A Continuous Time Approach
Brunnermeier, Markus K. - 2016
analyze endogenous (1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the …, (7) undercapitalized sectors (8) time-varying risk premia, and (9) the external funding premium are part of the analysis …
Persistent link: https://www.econbiz.de/10012989115
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A Stochastic Model of Investment, Marginal Q and the Market Value of Thefirm
Abel, Andrew B. - 2021
This paper presents closed-form solutions for the investment and valuation of a competitive firm with a Cobb-Douglas production function and a constant elasticity adjustment cost function in the presence of stochastic prices for output and inputs. The value of the firm is a linear function of...
Persistent link: https://www.econbiz.de/10013218536
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Making the Numbers? "Short Termism" & the Puzzle of Only Occasional Disaster
Repenning, Nelson - 2010
Much recent work in strategy and popular discussion suggests that an excessive focus on "managing the numbers" --delivering quarterly earnings at the expense of longer term investments--makes it difficult for firms to make the investments necessary to build competitive advantage. "Short termism"...
Persistent link: https://www.econbiz.de/10013138087
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The Role of Information in Competitive Experimentation
Akcigit, Ufuk - 2014
Technological progress is typically a result of trial-and-error research by competing firms. While some research paths lead to the innovation sought, others result in dead ends. Because firms benefit from their competitors working in the wrong direction, they do not reveal their dead-end...
Persistent link: https://www.econbiz.de/10013067107
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Modeling the Long Run : Valuation in Dynamic Stochastic Economies
Hansen, Lars Peter - 2008
sensitivity and to impute long-term risk prices, I develop an associated perturbation technique. Finally, I use DVD methods to …
Persistent link: https://www.econbiz.de/10012770669
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Rationalizing Trading Frequency and Returns : Maybe Trading is Good for You
Bonaparte, Yosef - 2019
Barber and Odean (2000) find that households who trade more have a lower net return than others and attribute this pattern to irrationality, particularly overconfidence. In contrast, we find that household financial choices generated from a dynamic optimization problem with rational agents and...
Persistent link: https://www.econbiz.de/10012869809
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Banking, Liquidity and Bank Runs in an Infinite-Horizon Economy
Gertler, Mark - 2013
We develop a variation of the macroeconomic model with banking in Gertler and Kiyotaki (2011) that allows for liquidity mismatch and bank runs as in Diamond and Dybvig (1983). As in Gertler and Kiyotaki, because bank net worth fluctuates with aggregate production, the spread between the expected...
Persistent link: https://www.econbiz.de/10013080411
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Accounting for Price Endogeneity in Airline Itinerary Choice Models : An Application to Continental U.S. Markets
Lurkin, Virginie - 2016
Network planning models, which forecast the profitability of airline schedules, support many critical decisions, including equipment purchase decisions. Network planning models include an itinerary choice model that is used to allocate air total demand in a city pair to different itineraries....
Persistent link: https://www.econbiz.de/10012981108