Investment under Uncertainty: Theory and Evidence

不确定性下的投资：理论与证据

• 批准号: 9512088
• 负责人: Andrew Abel
• 金额: $ 10.94万
• 依托单位: National Bureau of Economic Research Inc
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1995
• 资助国家: 美国
• 起止时间: 1995-11-01 至 1996-10-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9512088&HistoricalAwards=false
• 关键词: Investment; under; Uncertainty; Theory; Evidence

The objectives of this research are to develop and empirically test a more encompassing theory of investment under uncertainty that may better describe the actual investment behavior of firms, and to assess its implications for aggregate investment. The research project has both theoretical and empirical components. The empirical component implements with firm-level data the framework developed under the previous grant, in which firms may face various costs of adjusting their capital stocks. The goal of the theoretical component is to further develop analytically the role played by various types of adjustment costs in the investment dynamics of the firm. This framework emphasizes the fact that firms may pay a higher price for capital purchases than they receive for capital sales. One such case is examined in detail and an analytic solution obtained. It is shown that even a small discount on resale prices relative to purchase prices may have a substantial impact on investment behavior. This analysis is extended to a firm with any number of factors that may have resale discounts. A two-factor example can be interpreted as a firm facing irreversibility of capital investment and costs of firing workers. These features have been examined separately before, but this framework shows that when considered together, the importance of each type of irreversibility declines. Finally, it is shown how a continuum of bubbles can arise in the context of a firm's optimization problem. - - 9512088 Abel The objectives of this research are to develop and empirically test a more encompassing theory of investment under uncertainty that may better describe the actual investment behavior of firms, and to assess its implications for aggregate investment. The research project has both theoretical and empirical components. The empirical component implements with firm-level data the framework developed under the previous grant, in which firms may face various costs of adjusting their capital stocks. The goal of the theoretical component is to further develop analytically the role played by various types of adjustment costs in the investment dynamics of the firm. This framework emphasizes the fact that firms may pay a higher price for capital purchases than they receive for capital sales. One such case is examined in detail and an analytic solution obtained. It is shown that even a small discount on resale prices relative to purchase prices may have a substantial impact on investment behavior. This analysis is extended to a firm with any number of factors that may have resale discounts. A two-factor example can be interpreted as a firm facing irreversibility of capital investment and costs of firing workers. These features have been examined separately before, but this framework shows that when considered together, the importance of each type of irreversibility declines. Finally, it is shown how a continuum of bubbles can arise in the context of a firm's optimization problem. + - À v▀ +n ±ª ╝n ¼▀ + - À vN +n ±ª ╝n ¼N f8 Û-ª þ ; + + Ûª▓ ÑOh ª' +'ª▒0 H + S u m m a r y I n f o r m a t i o n ( ++++++++++++ ? x ++++++++++++ ++++++++++++ ++++++++++++ ▀ Û ( L p ` » ] $ ; + +++ N:\WW60\NORMAL.DOT BROWN, R @ @ @ +║¾*_++ @ v(A Microsoft Word 6.0 2 f8 Û-ª þ ; + +++ ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++]ªe =- e e % e H H H H H H $ x x x x x x í x ^ W + + + + + + + + ± ¼ ¼ ¼ Á ▀ ª ▀ @ ª T ^ H + + + + + ^ + H H + + + + + + H + H + ± H V ` H H H H + ± + +

本研究的目的是发展和实证检验一个更全面的理论，投资下的不确定性，可能更好地描述实际的投资行为的公司，并评估其对总投资的影响。该研究项目有理论和经验的组成部分。实证部分使用企业层面的数据实施了之前资助下开发的框架，其中企业可能面临调整股本的各种成本。理论部分的目标是进一步发展分析的作用所发挥的各种类型的调整成本在企业的投资动态。这一框架强调了这样一个事实，即企业可能为资本购买支付比资本出售更高的价格。一个这样的情况下进行了详细研究，并获得了解析解。结果表明，即使是一个小折扣的转售价格相对于购买价格可能会对投资行为产生重大影响。这种分析扩展到一个公司的任何数量的因素，可能有转售折扣。一个双因素的例子可以解释为一个公司面临着资本投资的不可逆性和解雇工人的成本。这些特征以前曾被单独研究过，但这个框架表明，当把它们放在一起考虑时，每种不可逆性的重要性都下降了。最后，它是如何连续的泡沫可以出现在一个公司的优化问题的背景下。 - - 9512088阿贝尔本研究的目标是开发和实证检验一个更全面的理论，投资下的不确定性，可以更好地描述实际的投资行为的公司，并评估其对总投资的影响。该研究项目有理论和经验的组成部分。实证部分实施与公司层面的数据框架下开发的前一个赠款，公司可能面临各种成本调整其资本存量。理论部分的目标是进一步发展分析的作用所发挥的各种类型的调整成本在企业的投资动态。这一框架强调了这样一个事实，即企业可能为资本购买支付比资本出售更高的价格。一个这样的情况下进行了详细研究，并获得了解析解。结果表明，即使是一个小折扣的转售价格相对于购买价格可能会对投资行为产生重大影响。这种分析扩展到一个公司的任何数量的因素，可能有转售折扣。一个双因素的例子可以解释为一个公司面临着资本投资的不可逆性和解雇工人的成本。这些特征以前曾被单独研究过，但这个框架表明，当把它们放在一起考虑时，每种不可逆性的重要性都下降了。最后，它是如何连续的泡沫可以出现在一个公司的优化问题的背景下。 + - v +n ± n ¼ + - - ; + + 你好，我的天啊 H + S um m m ary in for m m a t i o n ( ++++++++++++ ? X ++++++++++++ ++++++++++++ ++++++++++++ ▀ Û ( L p ` » ] $ ; + +++ N:\WW60\NORMAL.DOT 布朗河 @ @ @ 联系我们 @ v（A） Microsoft Word 6.0 2 f8-？ ; + +++ ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ e e % e H H H H H H $ X X X X X X í X ^ W + + + + + + + + ± ¼ ¼ ¼ Á ▀ ª ▀ @ ª 不 ^ H + + + + + ^ + H H + + + + + + H + H + ± H V ` H H H H + ± + +