Investment, capital market imperfections, and uncertainty: theory and empirical results
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cheltenham [u.a.]
Elgar
2001
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | IX, 155 S. |
| ISBN: | 1840640855 |
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MARC
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| 245 | 1 | 0 | |a Investment, capital market imperfections, and uncertainty |b theory and empirical results |c Robert Lensink, Hong Bo and Elmer Sterken |
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 2001 | |
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| 650 | 7 | |a Investeringen |2 gtt | |
| 650 | 7 | |a Onzekerheid |2 gtt | |
| 650 | 4 | |a Investment analysis | |
| 650 | 4 | |a Uncertainty | |
| 650 | 4 | |a Investments | |
| 650 | 0 | 7 | |a Unvollkommener Kapitalmarkt |0 (DE-588)4124366-3 |2 gnd |9 rswk-swf |
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Record in the Search Index
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| adam_text | Contents
List ofTables vii
Acknowledgements ix
1. Introduction 1
1.1 Field of interest 1
1.2 Outline 2
PART ONE: CAPITAL MARKET IMPERFECTIONS 5
2. Investment and Capital Market Imperfections: Theory 7
2.1 Introduction 7
2.2 The neoclassical world: Modigliani Miller 8
2.3 Economicsofimperfection 14
2.4 The importance of internal funds 28
2.5 Conclusions 29
3. Investment and Capital Market Imperfections: Empirics 31
3.1 Introduction 31
3.2 Reduced form investment modeis 32
3.3 Euler equation modeis 41
3.4 Vector AutoRegression (VAR) modeis 46
3.5 Conclusions 48
PART TWO: INVESTMENT UNDER UNCERTAINTY 51
4. Investment underUncertainty: Orthodox Models 53
4.1 Introduction 53
4.2 Orthodox modeis without adjustment costs 54
4.3 Orthodox modeis with adjustment costs 61
4.4 Conclusions 73
V
vi Table of Contents 5. The Option Approach to Investment under Uncertainty 75
5.1 Introduction 75
5.2 A basic example 76
5.3 The optimal timing of an investment project 79
5.4 Optimal irreversible investment 83
5.5 Perfect competition and constant returns to scale 86
5.6 Limited reversibility and expandability 89
5.7 Non linear effects of uncertainty 95
5.8 Conclusions 95
6. Empirics of the Investment Uncertainty Relationship 99
6.1 Introduction 99
6.2 Measuring uncertainty 100
6.3 Empirical evidence on the investment uncertainty relation¬
ship 105
6.4 Conclusions 111
PART THREE: CONCLUSION 113
7. Conclusions 115
PART FOUR: APPENDICES 119
A. Derivation of the q and Euler Model 121
A.I The q model I22
A.2 The Euler model i23
B. Utility Functions and Assumptions Regarding Risk 125
B.I Utility functions and risk 125
B.2 Mean preserving spread and Jensen s inequality 127
C. Ito s Lemma and Dynamic Programming I29
C. 1 Wiener processes and Ito s lemma I29
C.2 Dynamic programming 13*
Bibliography 1J
Author Index 149
Subject Index 153
List of Tables
3.1 Net sources of finance: 1970 94 32
3.2 Reduced form investment models applied to non US countries 34
3.3 Reduced form investment models applied to the US 35
3.4 Empirical Euler equation models 45
6.1 The sign of the investment uncertainty relationship 107
vii
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| id | DE-604.BV013976459 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:55:27Z |
| institution | BVB |
| isbn | 1840640855 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009566861 |
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| physical | IX, 155 S. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
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| publisher | Elgar |
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| spelling | Lensink, Robert 1962- Verfasser (DE-588)123650607 aut Investment, capital market imperfections, and uncertainty theory and empirical results Robert Lensink, Hong Bo and Elmer Sterken Cheltenham [u.a.] Elgar 2001 IX, 155 S. txt rdacontent n rdamedia nc rdacarrier Empirisch onderzoek gtt Investeringen gtt Onzekerheid gtt Investment analysis Uncertainty Investments Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd rswk-swf Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd rswk-swf Investitionsentscheidung (DE-588)4162244-3 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Investition (DE-588)4027556-5 s Unvollkommener Kapitalmarkt (DE-588)4124366-3 s Entscheidung bei Unsicherheit (DE-588)4070864-0 s DE-604 Investitionsentscheidung (DE-588)4162244-3 s DE-188 Bo, Hong Verfasser aut Sterken, Elmer Verfasser aut HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009566861&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Lensink, Robert 1962- Bo, Hong Sterken, Elmer Investment, capital market imperfections, and uncertainty theory and empirical results Empirisch onderzoek gtt Investeringen gtt Onzekerheid gtt Investment analysis Uncertainty Investments Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Investitionsentscheidung (DE-588)4162244-3 gnd Investition (DE-588)4027556-5 gnd |
| subject_GND | (DE-588)4124366-3 (DE-588)4070864-0 (DE-588)4162244-3 (DE-588)4027556-5 |
| title | Investment, capital market imperfections, and uncertainty theory and empirical results |
| title_auth | Investment, capital market imperfections, and uncertainty theory and empirical results |
| title_exact_search | Investment, capital market imperfections, and uncertainty theory and empirical results |
| title_full | Investment, capital market imperfections, and uncertainty theory and empirical results Robert Lensink, Hong Bo and Elmer Sterken |
| title_fullStr | Investment, capital market imperfections, and uncertainty theory and empirical results Robert Lensink, Hong Bo and Elmer Sterken |
| title_full_unstemmed | Investment, capital market imperfections, and uncertainty theory and empirical results Robert Lensink, Hong Bo and Elmer Sterken |
| title_short | Investment, capital market imperfections, and uncertainty |
| title_sort | investment capital market imperfections and uncertainty theory and empirical results |
| title_sub | theory and empirical results |
| topic | Empirisch onderzoek gtt Investeringen gtt Onzekerheid gtt Investment analysis Uncertainty Investments Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Entscheidung bei Unsicherheit (DE-588)4070864-0 gnd Investitionsentscheidung (DE-588)4162244-3 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Empirisch onderzoek Investeringen Onzekerheid Investment analysis Uncertainty Investments Unvollkommener Kapitalmarkt Entscheidung bei Unsicherheit Investitionsentscheidung Investition |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009566861&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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