Investment under Uncertainty: Theory and Evidence

本研究的目的是发展和实证检验一个更具包容性的不确定性下的投资理论，该理论可以更好地描述企业的实际投资行为，并评估其对总投资的影响。本研究项目包括理论和实证两个部分。经验部分利用公司层面的数据实施了前一次赠款下开发的框架，在该框架中，公司可能面临调整其资本存量的各种成本。理论部分的目标是进一步分析各种类型的调整成本在公司投资动态中所起的作用。这一框架强调了这样一个事实，即公司为资本购买支付的价格可能高于资本出售的价格。文中对其中一种情况进行了详细分析，并得到了解析解。研究表明，即使转售价格相对于购买价格有很小的折扣，也可能对投资行为产生重大影响。这一分析被扩展到具有任何数量的可能具有转售折扣的因素的公司。一个双因素的例子可以被解释为一家公司面临着不可逆转的资本投资和解雇工人的成本。这些特征以前已经单独研究过了，但这个框架表明，当综合考虑时，每种类型的不可逆性的重要性都会下降。最后，我们展示了如何在企业的优化问题中产生泡沫的连续体。--9512088阿贝尔这项研究的目的是开发和经验性地测试一种更全面的不确定性投资理论，该理论可以更好地描述公司的实际投资行为，并评估其对总投资的影响。本研究项目包括理论和实证两个部分。经验部分利用公司层面的数据实施了前一次赠款下开发的框架，在该框架中，公司可能面临调整其资本存量的各种成本。理论部分的目标是进一步分析各种类型的调整成本在公司投资动态中所起的作用。这一框架强调了这样一个事实，即公司为资本购买支付的价格可能高于资本出售的价格。文中对其中一种情况进行了详细分析，并得到了解析解。研究表明，即使转售价格相对于购买价格有很小的折扣，也可能对投资行为产生重大影响。这一分析被扩展到具有任何数量的可能具有转售折扣的因素的公司。一个双因素的例子可以被解释为一家公司面临着不可逆转的资本投资和解雇工人的成本。这些特征以前已经单独研究过了，但这个框架表明，当综合考虑时，每种类型的不可逆性的重要性都会下降。最后，我们展示了如何在企业的优化问题中产生泡沫的连续体。+-v▀+n±？╝n？▀+-？vn+n±？╝n？N f8；++？X+++N：\WW60\NORMAL.DOT Brown，R@+║á*_++@v(AMicrosoft Word 6.0 2 f8；+++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++]ªe=-e e%e H$xXíx^W+？▀？▀@？T^H+++^+H H+±H V`H+±++

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 + ± + +