The optimal timing of real investment is studied under the assumptions that investment is irreversible and that new … information about returns is arriving over time. Investment should be undertaken in this case only when the costs of deferring the … project exceed the expected value of information gained by waiting. Uncertainty, because it increases the value of waiting for …

returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend … firm characteristics - Tobin's Q, past investment, earnings-price ratios, market betas, and idiosyncratic volatility of … the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by …

We develop an integrated theory of investment, seasoned equity offerings (SEOs), liquidation, and corporate savings … under uncertainty for a financially constrained firm, which features endogenous growth options, abandonment options, and … payout policies. Facing costly external financing, the firm prefers to fund its investment internally, so that its optimal …

to long-run uncertainty than investment, and in turn investment is relatively more sensitive to long-run uncertainty than …Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied … volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time …

aggregate investment. We find that the volatility of the marginal profitability of capital - a summary measure of uncertainty …A recent literature suggests that because investment expenditures are irreversible and can be delayed, they may be … highly sensitive to uncertainty. We briefly summarize the theory, stressing its empirical implications. We then use cross …

investment until much of the residual uncertainty regarding the eventual success of the reform is eliminated. This paper shows … that even moderate amounts of policy uncertainty can act as a hefty tax on investment, and that otherwise sensible reforms …A resurgence in private investment is a necessary ingredient of a sustainable recovery in heavily-indebted developing …

irreversible investments following an increase in the uncertainty of their environment is not empirically well-known. This paper … estimates firms' responsiveness to changes in uncertainty using detailed data on oil well drilling in Texas and expectations of … future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem …

What is the best way to incorporate a risk premium into the discount rate schedule for a real investment project with … uncertain payoffs? The standard CAPM formula suggests a beta-weighted average of the return on a safe investment and the mean … return on an economy-wide representative risky investment. Suppose, though, that the project constitutes a tail …

public sector, it may be economically rational for those at risk not to invest in protective measures. Risk management …. These may include multi-year insurance contracts, well-enforced regulations, third-party inspections, and alternative risk …

investment; the impact of uncertainty on investment occurs primarily through changes in credit spreads; and innovations in credit … spreads have a strong effect on investment, irrespective of the level of uncertainty. These findings raise a question … face time-varying idiosyncratic uncertainty, irreversibility, nonconvex capital adjustment costs, and financial frictions …