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The effect of mean reversion on investment under uncertainty
15 references·16 citing·32 second hop
The effect of mean reversion on investment under uncertainty (2002)The effect of mean reversion on investmen…On the investment–uncertainty relationship in a real options model (2000)On the investment–uncertainty…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium…Investment under alternative return assumptions Comparing random walks and mean reversion (1995)Investment under alternative …Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyInvestment in Competitive Equilibrium: The Optimality of Myopic Behavior (1993)Investment in Competitive Equ…Hysteresis, Import Penetration, and Exchange Rate Pass-Through (1989)Hysteresis, Import Penetratio…Entry and Exit Decisions under Uncertainty (1989)Entry and Exit Decisions unde…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Irreversible Investment, Capacity Choice and the Value of the Firm (1986)Irreversible Investment, Capa…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…The Value of Waiting to Invest (1982)The Value of Waiting to InvestRisk and Return in Commodity Futures (1980)Risk and Return in Commodity …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Technology investment decision-making under uncertainty (2015)Technology investment decisio…The trade-off theory revisited: on the effect of operating leverage (2014)The trade-off theory revisite…Real options approach to renewable energy investments in Mongolia (2013)Real options approach to rene…Real option pricing with mean-reverting investment and project value (2011)Real option pricing with mean…The Worst Case for Real Options (2010)The Worst Case for Real Optio…The effect of mean reversion on entry and exit decisions under uncertainty (2009)The effect of mean reversion …On the neutrality of debt in investment intensity (2009)On the neutrality of debt in …Dynamic investment and capital structure under manager–shareholder conflict (2009)Dynamic investment and capita…The effect of uncertainty on pollution abatement investments: Measuring hurdle rates for Swedish industry (2008)The effect of uncertainty on …Investment timing, asymmetric information, and audit structure: A real options framework (2008)Investment timing, asymmetric…An approach to the valuation and decision of ERP investment projects based on real options (2008)An approach to the valuation …Investment Under Uncertainty (2007)Investment Under UncertaintyFinite project life and uncertainty effects on investment (2007)Finite project life and uncer…Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant (2006)Valuing flexibility: The case…Rational under‐pricing in bidding strategy: a real options model (2006)Rational under‐pricing in bid…How to analyze the investment–uncertainty relationship in real option models? (2005)How to analyze the investment…Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Investment in Human Capital: A Theoretical Analysis (1962)Theory of rational option pricing (2005)The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An equilibrium characterization of the term structure (1977)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Irreversibility, Uncertainty, and Investment (1990)Markov-Perfect Industry Dynamics: A Framework for Empirical Work (1995)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Investment and Hysteresis (1992)Real Options and Interactions with Financial Flexibility (1993)Strategic Growth Options (1998)Capital markets research in accounting (2001)
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References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1989Entry and Exit Decisions under Uncertainty2,356 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1986Irreversible Investment, Capacity Choice and the Value of the Firm1,296 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1989Hysteresis, Import Penetration, and Exchange Rate Pass-Through870 cited
  • 1980Risk and Return in Commodity Futures416 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 1993Investment in Competitive Equilibrium: The Optimality of Myopic Behavior310 cited
  • 2000On the investment–uncertainty relationship in a real options model289 cited
  • 1995Investment under alternative return assumptions Comparing random walks and mean reversion161 cited

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  • 2015Technology investment decision-making under uncertainty75 cited
  • 2006Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant72 cited
  • 2013Real options approach to renewable energy investments in Mongolia69 cited
  • 2009The effect of mean reversion on entry and exit decisions under uncertainty49 cited
  • 2010The Worst Case for Real Options47 cited
  • 2007Finite project life and uncertainty effects on investment46 cited
  • 2005How to analyze the investment–uncertainty relationship in real option models?40 cited
  • 2008Investment timing, asymmetric information, and audit structure: A real options framework38 cited
  • 2009Dynamic investment and capital structure under manager–shareholder conflict36 cited
  • 2006Rational under‐pricing in bidding strategy: a real options model29 cited
  • 2008An approach to the valuation and decision of ERP investment projects based on real options29 cited
  • 2007Investment Under Uncertainty28 cited
  • 2011Real option pricing with mean-reverting investment and project value27 cited
  • 2008The effect of uncertainty on pollution abatement investments: Measuring hurdle rates for Swedish industry27 cited
  • 2009On the neutrality of debt in investment intensity25 cited
  • 2014The trade-off theory revisited: on the effect of operating leverage21 cited