Re-examining the investment-uncertainty relationship in a real options model

NCUIR > School of Management at National Central University > Department of Finance > journal & Dissertation > Item 987654321/104967

Please use this identifier to cite or link to this item: https://ir.lib.ncu.edu.tw/handle/987654321/104967

Title:	Re-examining the investment-uncertainty relationship in a real options model
Authors:	張傳章;Chang, Chuang-Chang;Chen, Miao-Ying
Contributors:	管理學院財務金融學系
Keywords:	Accounting/Auditing;Capital budgeting;Corporate Finance;Discount rates;Earnings;Econometrics;Economics and Finance;Finance;Financial models;Financial reporting;Investment;Investment analysis;Investment financing;Investments;Operations Research/Decision Theory;Organizational behavior;Original Research;Prices;Real options analysis;Sarkar model;Simulation;Stochastic models;Studies;Uncertainty
Date:	2012-02-01
Issue Date:	2026-04-23 12:02:41 (UTC+8)
Publisher:	Springer New York;Boston: Springer US
Abstract:	摘要： The main purpose of this paper is to re-examine the investment-uncertainty relationship in a real options model, and demonstrates that the Sarkar (J Econ Dyn Control 24:219–225, 2000 ) model is a special case of our model. This paper uses a general dynamic process, which incorporates mean reversion and jumps in a firm’s project earnings. We further derive a quasi-analytical form solution for the critical investment value and investment probability of a firm’s projects. From the simulation results, we find that an increase in uncertainty can always lead to an increase in the probability of investment, and thus has a positive impact on investment. These results, which differ from the findings of Sarkar (J Econ Dyn Control 24:219–225, 2000 ), could be explained by the mean-reversion and jump effects on a firm’s earnings. 其他題名： Rev Quant Finan Acc 出版者： Boston: Springer US 出版日期： 2012-02-01 出處： Review of quantitative finance and accounting, 2012-02, Vol.38 (2), p.241-255 資源來源： SpringerLink Journals 版權： Springer Science+Business Media, LLC 2011 版權： Springer Science+Business Media, LLC 2012 識別號： ISSN: 0924-865X 識別號： EISSN: 1573-7179 識別號： DOI: 10.1007/s11156-011-0227-2
Appears in Collections:	[Department of Finance] journal & Dissertation

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