shape of the negative market jump tail risk which is not spanned by market volatility. Incidents of such tail shape shifts …We study short-term market risks implied by weekly S&P 500 index options. The introduction of weekly options has … short-term risks. Such short-dated options provide an easy and direct way to study market volatility and jump risks. Unlike …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic …

consumption, portfolio allocation, financing, investment, and business exit decisions. The optimal capital structure is determined …. More risk-averse entrepreneurs default earlier, but also choose higher leverage, even though leverage makes his equity more … risky. Non-diversified entrepreneurs demand both systematic and idiosyncratic risk premium. Cash-out option and external …

investment. Uncertainty increases real option values making firms more cautious when investing or disinvesting. This is confirmed … both numerically for a model with a rich mix of adjustment costs, time-varying uncertainty, and aggregation over investment …This paper shows that, with (partial) irreversibility, higher uncertainty reduces the impact effect of demand shocks on …

We re-examine the basic investment problem of deciding when to incur a sunk cost to obtain a stochastically fluctuating … benefit. The optimal investment rule satisfies a trade-off between a larger versus a later net benefit; we show that this … demand curve. We reinterpret the optimal investment rule as a markup formula involving an elasticity that has exactly the …

This study uncovers a statistically significant negative correlation between volatility and private investment over the … number of different measures, volatility reduces private investment in developing countries. We then show that the … continue to hold even if the coefficient of relative risk aversion approaches zero (that is, even if the marginal utility of …

The theoretical relationship between investment and uncertainty is ambiguous. This paper briefly surveys the insights … theoretical effects. Our results from a panel of U.S. manufacturing firms indicate a negative effect of uncertainty on investment … consistent with theories of irreversible investment. We find no evidence for a positive effect via the channel of the convexity …

This paper derives closed-form solutions for the investment and market value, under uncertainty, of competitive firms … irreversible investment as well as for reversible investment. Optimal investment is a non-decreasing function of q, the shadow … value of capital. The conditions of optimality imply that q cannot contain a bubble; thus, optimal investment depends only …

aggregate investment. We find that the volatility of the marginal profitability of capital - a summary measure of uncertainty …A recent literature suggests that because investment expenditures are irreversible and can be delayed, they may be … highly sensitive to uncertainty. We briefly summarize the theory, stressing its empirical implications. We then use cross …

's value, and I use it to show how these two types of uncertainty have very different effects on investment decisions. As an …I study irreversible investment decisions when projects take time to complete, and are subject to two types of … uncertainty over the cost of completion. The first is technical uncertainty, i.e., uncertainty over the amount of time, effort …