Leaders, Followers, and Equity Risk Premium in Booms and Busts
Leaders, Followers, and Equity Risk Premium in Booms and Busts
复制标题
繁荣和萧条时期的领导者、追随者和股票风险溢价
DOI：
10.1016/j.jbankfin.2016.08.010
复制
发表时间：
2016
影响因子：
3.7
通讯作者：
Ryuta Takashima
中科院分区：
文献类型：
--
作者：
Makoto;Goto;Katsumasa;Nishide;Ryuta Takashima
我们研究了两个非对称企业面临竞争的投资问题，其中表征经济条件的制度遵循马尔可夫转换过程。我们推导出领导者和追随者的价值函数和投资阈值。制度不确定性的期权价值对企业的投资决策具有重要意义。我们还展示了股票风险溢价和经济周期之间的关系，这在以前的研究中还没有做过，代理的需求水平或其他状态变量的经济条件。
We study an investment problem in which two asymmetric firms face competition and the regime characterizing the economic condition follows a Markov switching process. We derive the value functions and investment thresholds of the leader and follower. The option value of regime uncertainty is found to be quite important for the investment decision of firms. We also show the relationship between the equity risk premium and the economic cycle that has not been done in previous studies, which proxy economic conditions by the level of demand or other state variables.