We investigate whether time-series volatility in book-to-market (UNC) is priced in equity returns. UNC captures uncertainty about the current value of the firm's portfolio of assets-in-place and real options, and reflects changes in moneyness and uncertainty in the exercise of these options. UNC...

The incentive to 'overinvest' in capital may be eroded in dynamic, competitive settings if firms face uncertainty and irreversibility. In this paper, we derive the stationary Markov perfect equilibrium for a dynamic, infinite-horizon capacity investment game formulated in continuous time in...