An Equilibrium Model of Investment Under Uncertainty
分析了竞争性不确定环境下异质性企业的最优投资决策，发现实物期权溢价显著，企业会延迟投资并放弃部分正净现值项目，同时比较了竞争与垄断的福利损失，并预测企业回报的周期依赖性。
We analyze the optimal investment decisions of heterogeneous firms in a competitive, uncertain environment, characterizing firms' investment strategies explicitly and deriving closed-form solutions for firm value. Real option premia remain significant, and are even unmitigated relative to the standard partial-equilibrium model when both are calibrated to observables. Firms consequently delay investment, choosing not to undertake some positive NPV projects. We compare competitive behavior to that of a strategic monopolist, and quantify the welfare loss associated with monopoly. Finally, the model predicts business cycle dependence on firm returns, with returns negatively skewed during industry expansions but positively skewed in industry recessions.