The real options tradition originally predicted a decreasing relationship between uncertainty and investment, through … the positive effect of higher uncertainty on the trigger level for revenue relative to costs. An opposing effect on the … probability is not the best measure of investment. The sign of the total effect is again ambiguous. This ambiguity is illustrated …

reverting processes are rarely used in investment models in the literature. In most models, geometric Brownian motion processes … investigations of aggregate industry investment …

certainty and uncertainty. Prior to stopping, the expected rate of return from delay exceeds the rate of interest. The expected … uncertainty. …

We derive a new equation for the optimal investment boundary of a general irreversible investment problem under … exponential Lévy uncertainty. The problem is set as an infinite time-horizon, two-dimensional degenerate singular stochastic … the Wiener-Hopf factorization allow us to derive an integral equation for the optimal investment boundary. In case the …

This paper revisits the important result of the real options approach to investment under uncertainty, which states … that increased uncertainty raises the value of waiting and thus decelerates investment.Typically in this literature … that investment projects are usually considered to have a .nite life.The present paper studies investment projects with …

In the literature investigating the impact of uncertainty on short-run and long-run investment, most authors have used … general ones and has the advantage of providing closed form solutions for both short-run investment rule and long-run rate of …

We derive robust predictions on the effects of uncertainty on short run investment dynamics in a broad class of models … of the capital stock is ambiguous. An investment model is estimated to test these theoretical predictions using a panel … of UK firms and a stock returns-based measure of uncertainty. As predicted we find that uncertainty reduces firms …

In this paper we investigate how demand and output price uncertainty affect investment plans of Belgian manufacturing … literature: two reduced form equations and a structural Euler equation. Our results show that uncertainty depresses investment …, uncertainty postpones investment today in favour of investment tomorrow. This effect is stronger for firms with more irreversible …

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 …