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An Empirical Examination of the Relationship Between Real Options Values and the Rate of Investment

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Author Info
Turvey, Calum G.
Toole, Andrew
Kropp, Jaclyn
Abstract

This paper examines the relationship between uncertainty and investment decisions by food and non-food firms. Using hysteresis and the real options paradigm, we review why uncertainty might cause firms to delay investment. In particular, our model looks for a negative relationship between capital invested and uncertainty. In the alternative, if the relationship is positive, this may be consistent with the exercise of growth options or competitive markets. Empirical results are mixed. In one of the four models we present there is clear evidence of hysteresis, that is a negative relationship between year over year investment and uncertainty. The remaining 3 models indicate the opposite, a positive relationship between investment and risk. Although the models differ, the first model is the stronger of the three. Nonetheless, the results are ambiguous. Although we use a large cross sectional, time series panel set of data, we find nothing remarkable about the food industry per se, except that across industries, their level of investment is about in the middle.

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Paper provided by International European Forum on Innovation and System Dynamics in Food Networks in its series 2007 1st Forum, February 15-17, 2007, Innsbruck, Austria with number 6606.

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Date of creation: 2007
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Handle: RePEc:ags:iefi07:6606

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Web page: http://uf.ilb.uni-bonn.de/innovation2007
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Keywords: Financial Economics;

References listed on IDEAS
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  1. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179. [Downloadable!] (restricted)
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  3. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April. [Downloadable!] (restricted)
  4. Tarek M. Harchaoui & Pierre Lasserre, 1995. "Testing the Option Value Theory of Irreversible Investment," CIRANO Working Papers 95s-41, CIRANO. [Downloadable!]
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This page was last updated on 2009-12-26.


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