Investment, Capital Market Imperfections and Uncertainty: Theory and Empirical Results (Elgar Monographs)
By: Robert Lensink (author), Elmer Sterken (author), Hong Bo (author)Hardback
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This book presents an up-to-date overview of the theory as well as the empirics of the relationship between investment, financial imperfections and uncertainty. After reviewing the capital market imperfections literature and the empirical results, the authors discuss both traditional investment models with uncertainty and the more modern option based models. They present an overview of empirical results of the modelling of investment under uncertainty. In these examples the effects of capital market imperfections on investment are carefully considered. The authors conclude that there is overwhelming empirical support for a negative uncertainty-investment relationship. This book should appeal to academics with an interest in investment theory, professionals in the financial sector and students of macroeconomics and finance. "Investment, Capital Market Imperfections, and Uncertainty" assumes only a basic knowledge of mathematics and is easily accessible.
Introduction - field of interest, outline. Part 1 Capital market imperfections: investment and capital market imperfections - theory - the neoclassical world - Modigliani-Miller, economics of imperfection, capital market imperfections and investment - the importance of internal funds, conclusions; investment and capital market imperfections - empirics - reduced form investment models, Euler equation models, vector autoregression (VAR) models, conclusions. Part 2 Investment under uncertainty: investment under uncertainty - orthodox models - orthodox models without adjustment costs, orthodox models with adjustment costs, conclusions; the option approach to investment under uncertainty - a basic example, the optimal timing of an investment project - the McDonald-Siegel model, optimal irreversible investment - the Bertola model, optimal irreversible investment for a perfectly competitive firm with a constant returns to scale production function - the Carabello model, limited reversibility and expandability - the ADEP model, non-linear effects of undertainty, conclusions; empirics of the investment uncertainty relationship - measuring uncertainty, empirical evidence on the investment uncertainty relationship, conclusions.
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- ID: 9781840640854
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