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Investissement, incertitude et irréversibilité. Quelques développements récents de la théorie de l'investissement

  • Jérôme Bourdieu
  • Benoît Coeuré
  • Béatrice Sédillot

[fre] Quand l'installation du capital productif est irréversible et les profits incertains, il peut être profitable pour les entreprises d'attendre avant d'investir car chaque instant écoulé apporte des informations sur les états futurs. Ce constat très simple peut modifier de manière importante le seuil de rendement requis pour investir, mais également la dynamique de l'accumulation du capital et la valorisation des entreprises par le marché. On passe ici en revue la littérature récente sur la déci­sion d'investissement en présence d'incertitude, en présentant les principales conclusions des modèles et en détaillant les plus significatifs d'entre eux. On décrit tout d'abord pour une entreprise isolée la valorisation des projets et les modes d'accumulation du capital. Puis, pour un ensemble d'entreprises, on étudie l'investissement et la décision d'entrée dans un cadre concurrentiel, puis les problèmes que pose la coexistence de différentes sources d'incertitude : incertitude macroéconomique et aléas propres à chaque entreprise. On passe enfin en revue les validations empiriques de ces modèles et leurs implications. [eng] When investment is irreversible and future profits are uncertain, there may be a value of waiting because of the ongoing stream of new information. This simple statement has implications for the trigger of investment, as well as for the dyna­mics of capital accumulation and the market value of the firms In this paper we survey the emerging literature on irreversible investment and uncertainty We try to identify the main insights and we focus on the more significant models First we examine the single project problem and capital accumulation at the firm level Then we study the effects of uncertainty on the entry of firms and investment in competitive industry and we examine the fallacy of composition problem when firms face both aggregate and idiosyncratic uncertainties We conclude by an appraisal of the empirical studies in the field

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 48 (1997)
Issue (Month): 1 ()
Pages: 23-53

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Handle: RePEc:prs:reveco:reco_0035-2764_1997_num_48_1_409862
Note: DOI:10.3406/reco.1997.409862
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