This paper studies the impacts of the interactions between the changing macroeconomic conditions and the nature of competition on firms' investment timing decisions. With a model featuring business-cycle variations in both the profit level and the expected growth rate and volatility of the...

We show that a common regulatory mandate in electricity markets that use location-based pricing that requires all customers to purchase their wholesale electricity at the same quantity-weighted average of the locational prices can increase the performance of imperfectly competitive wholesale...

Most firms face some form of competition in product markets. The degree of competition a firm faces feeds back into its cash flows and affects the values of the securities it issues. Through its effects on stock prices, product market competition affects the prices of options on equity and...

This paper examines the effect of competition on the irreversible investment decisions under uncertainty as a generalization of the real option approach. We examine this issue with reference to an industry where each firm has only one investment opportunity which is completely irreversible and...

The paper provides a new hedging methodology permitting systematic hedging choices with wide applications. Dynamic concave bid price, and convex ask price functionals from the recent literature are employed to construct new hedging strategies termed dynamic conic hedging. The primary focus of...

This article investigates effects of direct and indirect product competition on overpricing of discount certificates in Germany. The results indicate that whereas indirect competition reduces overpricing, certificates with direct competitors are more overpriced at their issuance than...

This paper analyzes the timing options embedded in a startup firm, and the associated market entry and exit timing decisions under the exogenous risks of early termination and competitor's entry. Our valuation approach leads to the analytical study of a non-standard perpetual American...

Empirical applications of real options models in competitive environments implicitly exploit the optimality of myopic planning. In a seminal paper [Leahy, J.V., 1993. Investment in Competitive Equilibrium: the Optimality of Myopic Behavior. Quarterly Journal of Economics 108, 1105–1133] shows...