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An equilibrium model of irreversible investment

  • Kogan, Leonid

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 62 (2001)
Issue (Month): 2 (November)
Pages: 201-245

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Handle: RePEc:eee:jfinec:v:62:y:2001:i:2:p:201-245
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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  8. Dixit, Avinash K, 1989. "Entry and Exit Decisions under Uncertainty," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 620-38, June.
  9. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 707-727.
  10. Andrew B. Abel & Janice C. Eberly, 1993. "A Unified Model of Investment Under Uncertainty," NBER Working Papers 4296, National Bureau of Economic Research, Inc.
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  12. Andrew B. Abel & Janice C. Eberly, 1995. "The Effects of Irreversibility and Uncertainty on Capital Accumulation," NBER Working Papers 5363, National Bureau of Economic Research, Inc.
  13. Olson, Lars J., 1989. "Stochastic growth with irreversible investment," Journal of Economic Theory, Elsevier, vol. 47(1), pages 101-129, February.
  14. Floyd, John E & Hynes, J Allan, 1979. "Capital Immobility, Adjustment Costs, and the Theoretical Foundations of Income-Expenditure Models," Journal of Political Economy, University of Chicago Press, vol. 87(2), pages 267-91, April.
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  16. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
  17. Caplin, A. & Leahy, J., 1993. "The Economic of Adjustment," Harvard Institute of Economic Research Working Papers 1655, Harvard - Institute of Economic Research.
  18. Cukierman, Alex, 1980. "The Effects of Uncertainty on Investment under Risk Neutrality with Endogenous Information," Journal of Political Economy, University of Chicago Press, vol. 88(3), pages 462-75, June.
  19. Andrew B. Abel & Janice C. Eberly, 1996. "Optimal Investment with Costly Reversibility," Review of Economic Studies, Oxford University Press, vol. 63(4), pages 581-593.
  20. L. Johansen, 1967. "Some Theoretical Properties of a Two-Sector Model of Optimal Growth," Review of Economic Studies, Oxford University Press, vol. 34(1), pages 125-141.
  21. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
  22. Guiseppe Bertola & Ricardo J. Caballero, 1994. "Irreversibility and Aggregate Investment," Review of Economic Studies, Oxford University Press, vol. 61(2), pages 223-246.
  23. Lucas, Robert E, Jr & Prescott, Edward C, 1971. "Investment Under Uncertainty," Econometrica, Econometric Society, vol. 39(5), pages 659-81, September.
  24. Saman Majd & Robert S. Pindyck, 1985. "Time to Build, Option Value, and Investment Decisions," NBER Working Papers 1654, National Bureau of Economic Research, Inc.
  25. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
  26. Pindyck, Robert S, 1993. "A Note on Competitive Investment under Uncertainty," American Economic Review, American Economic Association, vol. 83(1), pages 273-77, March.
  27. P. S. Dasgupta, 1969. "Optimum Growth when Capital is Non-transferable," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 77-88.
  28. He, Hua & Pindyck, Robert S., 1992. "Investments in flexible production capacity," Journal of Economic Dynamics and Control, Elsevier, vol. 16(3-4), pages 575-599.
  29. Avinash Dixit, 1992. "Investment and Hysteresis," Journal of Economic Perspectives, American Economic Association, vol. 6(1), pages 107-132, Winter.
  30. Ben S. Bernanke, 1983. "Irreversibility, Uncertainty, and Cyclical Investment," The Quarterly Journal of Economics, Oxford University Press, vol. 98(1), pages 85-106.
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  32. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  33. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
  34. Avinash Dixit, 1989. "Hysteresis, Import Penetration, and Exchange Rate Pass-Through," The Quarterly Journal of Economics, Oxford University Press, vol. 104(2), pages 205-228.
  35. Abel, Andrew B. & Eberly, Janice C., 1997. "An exact solution for the investment and value of a firm facing uncertainty, adjustment costs, and irreversibility," Journal of Economic Dynamics and Control, Elsevier, vol. 21(4-5), pages 831-852, May.
  36. S. E. Shreve & H. M. Soner & G.-L. Xu, 1991. "Optimal Investment and Consumption With Two Bonds and Transaction Costs," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 53-84.
  37. John V. Leahy, 1993. "Investment in Competitive Equilibrium: The Optimality of Myopic Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 108(4), pages 1105-1133.
  38. Baldwin, Carliss Y. & Meyer, Richard F., 1979. "Liquidity preference under uncertainty: A model of dynamic investment in illiquid opportunities," Journal of Financial Economics, Elsevier, vol. 7(4), pages 347-374, December.
  39. Sargent, Thomas J., 1980. ""Tobin's q" and the rate of investment in general equilibrium," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 12(1), pages 107-154, January.
  40. Harrison, J. Michael & Pliska, Stanley R., 1983. "A stochastic calculus model of continuous trading: Complete markets," Stochastic Processes and their Applications, Elsevier, vol. 15(3), pages 313-316, August.
  41. Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1991. "Equilibrium Models With Singular Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 11-29.
  42. Bose, Sanjit, 1970. "Optimal Growth in a Nonshiftable Capital Model," Econometrica, Econometric Society, vol. 38(1), pages 128-52, January.
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  44. Prescott, Edward C & Mehra, Rajnish, 1980. "Recursive Competitive Equilibrium: The Case of Homogeneous Households," Econometrica, Econometric Society, vol. 48(6), pages 1365-79, September.
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