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The dynamics of investment under uncertainty
Bloom, Nicholas; Bond, Stephen; Van Reenen, John - 2001
We derive robust predictions on the effects of uncertainty on short run investment dynamics in a broad class of models with (partial) irreversibility. When their environment becomes more uncertain firms become more cautious and less responsive to demand shocks. This result contrasts with the...
Persistent link: https://www.econbiz.de/10010293014
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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...
Persistent link: https://www.econbiz.de/10012060122
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The Real Options Effect of Uncertainty on Investment and Labor Demand
Bloom, Nicholas - 2014
This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the long run rate of investment. This is proven for both the standard investment model with Cobb-Douglas production and Brownian motion demand, and also for a broader class of models with...
Persistent link: https://www.econbiz.de/10014036567
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Corporate Savings, Financing, and Investment with Aggregate Uncertainty Shocks
Chen, Guojun - 2016
, investment irreversibility, and time-varying risk premia. In my model, firms have a precautionary-savings motive and real options … to wait, both of which interact with time-varying uncertainty and are reinforced by state-dependent risk premia. My model … the observed firm behaviors in high uncertainty states, and (2) time-varying risk premia amplify the impact of the …
Persistent link: https://www.econbiz.de/10012983559
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On measuring uncertainty : snakes and ladders
Junankar, Pramod N. - 2016
although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. …
Persistent link: https://www.econbiz.de/10011543578
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On nonlinear expectations and Markov chains under model uncertainty
Nendel, Max - 2019
The aim of this work is to give an overview on nonlinear expectation and to relate them to other concepts that describe model uncertainty or imprecision in a probabilistic framework. We discuss imprecise versions of stochastic processes with a particular interest in imprecise Markov chains....
Persistent link: https://www.econbiz.de/10012135809
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Asymmetry and ambiguity in newsvendor models
Natarajan, Karthik; Sim, Melvyn; Uichanco, Joline - In: Management science : journal of the Institute for … 64 (2018) 7, pp. 3146-3167
Persistent link: https://www.econbiz.de/10011899740
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Intertemporal Bundling Under Demand Uncertainty
Mialon, Sue H. - 2014
We develop a two-period model of bundling strategy when a monopolistic firm faces uncertain demand in the second period. We examine the effect of intertemporal bundling on market outcomes in three cases: when the monopolist offers bundling without an option to purchase an individual future...
Persistent link: https://www.econbiz.de/10012751499
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Uncertainty, Investment Spikes, and Leverage Adjustments
Im, Hyun Joong - 2020
We study the effects of uncertainty on corporate leverage adjustments with respect to investment spikes and find that overlevered and underlevered firms behave very differently in response to the combination of uncertainty and investment spikes. Overlevered firms facing high uncertainty converge...
Persistent link: https://www.econbiz.de/10012855716
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Production and Hedging with Optimism and Pessimism under Ambiguity
Lien, Donald D. - 2017
This paper analyzes the optimal production and hedging decisions of a competitive firm holding optimism and pessimism under price ambiguity. We show that the separation theorem remains intact as the firm's optimal output level depends neither on the output price distribution nor on the firm's...
Persistent link: https://www.econbiz.de/10012972918