The effects of irreversibility on the timing and intensity of lumpy investment
The effects of irreversibility on the timing and intensity of lumpy investment
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DOI：
10.1016/j.econmod.2009.07.028
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发表时间：
2010
影响因子：
4.7
通讯作者：
K. Wong
中科院分区：
文献类型：
--
作者：
K. Wong
本文考察了投资不可逆性的变化如何影响货币投资的时间和强度。我们开发了一个连续时间模型，其中一个公司被赋予一个永久的选择权，在任何时候投资于一个项目，在那一刻产生部分可逆的投资成本。投资成本的金额与企业在行使投资选择权时内生选择的投资强度直接相关。我们发现，较高的投资不可逆性诱导企业提高其最优投资触发，从而推迟项目的承诺。此外，我们表明，投资的不可逆性的变化对公司的最优投资强度没有影响，由于两个相反的效果，正好相互抵消。最后，我们表明，更高的投资不可逆性降低了投资选择权的价值，因此，使公司价值降低。
This paper examines how changes in irreversibility of investment affect the timing and intensity of lumpy investment. We develop a continuous-time model wherein a firm is endowed with a perpetual option to invest in a project at any time by incurring a partially reversible investment cost at that instant. The amount of the investment cost is directly related to the intensity of investment that is endogenously chosen by the firm at the instant when the investment option is exercised. We show that higher irreversibility of investment induces the firm to raise its optimal investment trigger, thereby deferring the undertaking of the project. Furthermore, we show that changes in irreversibility of investment have no impact on the firm's optimal investment intensity due to two opposing effects that exactly offset each other. Finally, we show that higher irreversibility of investment reduces the value of the investment option and, therefore, makes the firm less valuable.