所属栏目:公司金融/资本预算和估值

Corporate Investment Under Uncertain Business Cycles
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发布日期:2011年09月13日 上次修订日期:2011年09月13日

摘要

We provide empirical evidence and a theoretical explanation for the asymmetries of capital growth rate at the firm level and in the aggregate. Capital growth rate at the firm level is positively skewed, while the average capital growth rate across firms, as well as its slope, is negatively skewed. We develop a model of irreversible corporate investment that can reconcile these opposite patterns. The key to our model is that firms do not observe the true state of economy and have to infer it from noisy signals. The time-varying uncertainty in the learning process leads to variations in the option value of waiting, which causes many firms to react to bad signals arriving in good times, and few firms to react to good signals arriving in bad times. As a result, the capital growth rate at the aggregate level exhibits a negative skewness both in levels and in the slope, even though irreversibility causes positive skewness at the individual firm level.
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Thomas Dangl; Youchang Wu Corporate Investment Under Uncertain Business Cycles (2011年09月13日) https://www.cfrn.com.cn/lw/13797

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