The Role of Uncertainty in Investment: An Examination of Competing Investment Models Using Commercial Real Estate Data
通过构建资产市场均衡的结构模型，利用商业房地产数据检验新古典与期权式投资模型，发现不可逆性和延迟对投资者很重要，对宏观经济政策和周期性投资预测有启示。
Neoclassical investment decision criteria suggest that only the systematic component of total risk affects the rate of investment, as channeled through the built‐asset price. Alternatively, option‐based investment models suggest a direct role for total uncertainty in investment decisionmaking. To sort out uncertainty's role in investment, we specify and empirically estimate a structural model of asset‐market equilibrium. Commercial real estate time‐series data with two distinct measures of asset price and uncertainty are used to assess the competing investment models. Empirical results generally favor predictions of the option‐based model and hence suggest that irreversibility and delay are important considerations to investors. Our findings also have implications for macroeconomic policy and for forecasts of cyclical investment activity.