The overall effect of volatility on investment
We introduce a new channel called random delay effect, through which volatility influences real investment. We show that random delay effect is not negligible in determining the sign of the volatility-investment relationship.
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- Sarkar, Sudipto, 2003. "The effect of mean reversion on investment under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 28(2), pages 377-396, November.
- Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-233, March. Full references (including those not matched with items on IDEAS)
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