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The effect of mean reversion on investment under uncertainty

Citations

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Cited by:

  1. Wong, Kit Pong & Yi, Long, 2013. "Irreversibility, mean reversion, and investment timing," Economic Modelling, Elsevier, vol. 30(C), pages 770-775.
  2. Shibata, Takashi, 2009. "Investment timing, asymmetric information, and audit structure: A real options framework," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 903-921, April.
  3. Wong, Kit Pong, 2011. "Progressive taxation and the intensity and timing of investment," Economic Modelling, Elsevier, vol. 28(1-2), pages 100-108, January.
  4. Elvira Di Nardo & Giuseppe D’Onofrio, 2021. "On the Cumulants of the First Passage Time of the Inhomogeneous Geometric Brownian Motion," Mathematics, MDPI, vol. 9(9), pages 1-17, April.
  5. Shibata, Takashi & Nishihara, Michi, 2010. "Dynamic investment and capital structure under manager-shareholder conflict," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 158-178, February.
  6. Kiyoshi Suzuki, 2018. "Optimal pair-trading strategy over long/short/square positions—empirical study," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 97-119, January.
  7. Feng Song & Jinhua Zhao & Scott M. Swinton, 2011. "Switching to Perennial Energy Crops Under Uncertainty and Costly Reversibility," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 93(3), pages 764-779.
  8. Abadie, Luis María & Chamorro Gómez, José Manuel, 2005. "Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant," IKERLANAK 2005-21, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  9. Driver, Ciaran & Temple, Paul & Urga, Giovanni, 2008. "Real options -- delay vs. pre-emption: Do industrial characteristics matter?," International Journal of Industrial Organization, Elsevier, vol. 26(2), pages 532-545, March.
  10. Fouilloux, Jessica & Moraux, Franck & Viviani, Jean-Laurent, 2015. "Investing in finite-life carbon emissions reduction program under risk and idiosyncratic uncertainty," Energy Policy, Elsevier, vol. 82(C), pages 310-320.
  11. repec:ehu:ikerla:6483 is not listed on IDEAS
  12. Chu, Kai Cheung & Wong, Kit Pong, 2010. "Progressive taxation and corporate liquidation policies with mean-reverting earnings," Economic Modelling, Elsevier, vol. 27(3), pages 730-736, May.
  13. McCarty, Tanner & Sesmero, Juan, 2014. "Uncertainty, Irreversibility, and Investment in Second-Generation Biofuels," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 179201, Agricultural and Applied Economics Association.
  14. Löfgren, Åsa & Millock, Katrin & Nauges, Céline, 2008. "The effect of uncertainty on pollution abatement investments: Measuring hurdle rates for Swedish industry," Resource and Energy Economics, Elsevier, vol. 30(4), pages 475-491, December.
  15. repec:vuw:vuwscr:19091 is not listed on IDEAS
  16. Ali Al-Aradi & Alvaro Cartea & Sebastian Jaimungal, 2018. "Technical Uncertainty in Real Options with Learning," Papers 1803.05831, arXiv.org, revised Jul 2018.
  17. Park, Hojeong, 2016. "A real option analysis for stochastic disease control and vaccine stockpile policy: An application to H1N1 in Korea," Economic Modelling, Elsevier, vol. 53(C), pages 187-194.
  18. Tsekrekos, Andrianos E., 2010. "The effect of mean reversion on entry and exit decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 725-742, April.
  19. Abadie, Luis M. & Chamorro, José M., 2008. "Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant," Energy Economics, Elsevier, vol. 30(4), pages 1850-1881, July.
  20. Shih, Pai-Ta & Hung, Weifeng, 2008. "The overall effect of volatility on investment," Economics Letters, Elsevier, vol. 99(2), pages 324-327, May.
  21. Kiyoshi Suzuki, 2021. "Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach," Mathematics of Operations Research, INFORMS, vol. 46(1), pages 336-360, February.
  22. Timo Willershausen & Sascha H. Mölls & Karl-Heinz Schild, 2007. "Unsicherheit und der Wert realer Optionen," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 314-332, May.
  23. Davis, Graham A. & Cairns, Robert D., 2012. "Good timing: The economics of optimal stopping," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 255-265.
  24. Strebulaev, Ilya A. & Whited, Toni M., 2012. "Dynamic Models and Structural Estimation in Corporate Finance," Foundations and Trends(R) in Finance, now publishers, vol. 6(1–2), pages 1-163, November.
  25. Gryglewicz, Sebastian & Huisman, Kuno J.M. & Kort, Peter M., 2008. "Finite project life and uncertainty effects on investment," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2191-2213, July.
  26. Lund, Diderik, 2005. "How to analyze the investment-uncertainty relationship in real option models?," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 311-322.
  27. Guthrie, Graeme, 2007. "Missed Opportunities: Optimal Investment Timing When Information is Costly," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(2), pages 467-488, June.
  28. Marcel Philipp Müller & Sebastian Stöckl & Steffen Zimmermann & Bernd Heinrich, 2016. "Decision Support for IT Investment Projects," Business & Information Systems Engineering: The International Journal of WIRTSCHAFTSINFORMATIK, Springer;Gesellschaft für Informatik e.V. (GI), vol. 58(6), pages 381-396, December.
  29. F. Wu & H. Li & L. Chu & D. Sculli & K. Gao, 2009. "An approach to the valuation and decision of ERP investment projects based on real options," Annals of Operations Research, Springer, vol. 168(1), pages 181-203, April.
  30. Daniela Bragoli & Flavia Cortelezzi & Pierpaolo Giannoccolo & Giovanni Marseguerra, 2020. "R&D Investment timing, default and capital structure," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 779-801, April.
  31. Andrianos Tsekrekos, 2013. "Irreversible exit decisions under mean-reverting uncertainty," Journal of Economics, Springer, vol. 110(1), pages 5-23, September.
  32. Bredin, Don & O'Sullivan, Conall & Spencer, Simon, 2021. "Forecasting WTI crude oil futures returns: Does the term structure help?," Energy Economics, Elsevier, vol. 100(C).
  33. Hervé Roche, 2022. "The implications of tax loss carryforwards on investment policy," Mathematics and Financial Economics, Springer, volume 16, number 6, December.
  34. Angelov, Nikolay, 2006. "Structural breaks in Iron-Ore prices: The impact of the 1973 oil crisis," Working Paper Series 2006:11, Uppsala University, Department of Economics.
  35. Wong, Kit Pong, 2011. "Progressive taxation and the intensity and timing of investment," Economic Modelling, Elsevier, vol. 28(1), pages 100-108.
  36. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  37. Guthrie, Graeme, 2005. "Missed Opportunities: Optimal Investment Timing when Information is Costly," Working Paper Series 19091, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  38. Laurikka, Harri & Koljonen, Tiina, 2006. "Emissions trading and investment decisions in the power sector--a case study in Finland," Energy Policy, Elsevier, vol. 34(9), pages 1063-1074, June.
  39. Jostein Tvedt, 2022. "Optimal Entry and Exit Decisions Under Uncertainty and the Impact of Mean Reversion," SN Operations Research Forum, Springer, vol. 3(4), pages 1-21, December.
  40. Glover, Kristoffer J. & Hambusch, Gerhard, 2016. "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 1-21.
  41. Jiang, Hao & Ma, Yong & Wang, Tianyang, 2025. "Too many irons in the fire: The impact of limited institutional attention on market microstructure and efficiency," Journal of Financial Markets, Elsevier, vol. 73(C).
  42. Abadie, Luis María & Chamorro Gómez, José Manuel, 2006. "Monte Carlo Valuation of natural gas investments," IKERLANAK 2006-25, Universidad del País Vasco - Departamento de Fundamentos del Análisis Económico I.
  43. Detert, Neal & Kotani, Koji, 2013. "Real options approach to renewable energy investments in Mongolia," Energy Policy, Elsevier, vol. 56(C), pages 136-150.
  44. Berg, Tobias & Mölls, Sascha H. & Willershausen, Timo, 2009. "(Real-)options, uncertainty and comparative statics: Are Black and Scholes mistaken?," Manuskripte aus den Instituten für Betriebswirtschaftslehre der Universität Kiel 645, Christian-Albrechts-Universität zu Kiel, Institut für Betriebswirtschaftslehre.
  45. M. Trojanowska & P. M. Kort, 2010. "The Worst Case for Real Options," Journal of Optimization Theory and Applications, Springer, vol. 146(3), pages 709-734, September.
  46. Kou, Ying & Luo, Meifeng, 2018. "Market driven ship investment decision using the real option approach," Transportation Research Part A: Policy and Practice, Elsevier, vol. 118(C), pages 714-729.
  47. Kit Wong, 2010. "On the neutrality of debt in investment intensity," Annals of Finance, Springer, vol. 6(3), pages 335-356, July.
  48. C. Y. Yiu & C. S. Tam, 2006. "Rational under-pricing in bidding strategy: a real options model," Construction Management and Economics, Taylor & Francis Journals, vol. 24(5), pages 475-484.
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