Artikel
Heterogeneous parameter uncertainty and the timing of investment during crisis
We present a model in which investors observe the same macroeconomic data but have varying levels of information about the parameters that determine the distribution of the expected returns on investment. During a crisis that increases macroeconomic uncertainty and reduces asset prices, the threshold required return that triggers investment is lower for an informed investor than for an uninformed investor. Simulation of the model suggests that when macroeconomic uncertainty is high investment may increase, is mostly by informed investors, and as time goes on is progressively more by investors who were initially relatively uninformed about model parameters. For over 10,000 instances of firm-level FDI data for Korea from 1996 to 2001, regression results are consistent with the hypothesis that disproportionably more FDI is made by more informed investors during a period of high macroeconomic uncertainty.
- Language
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Englisch
- Bibliographic citation
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Journal: Economics: The Open-Access, Open-Assessment E-Journal ; ISSN: 1864-6042 ; Volume: 3 ; Year: 2009 ; Issue: 2009-41 ; Pages: 1-22 ; Kiel: Kiel Institute for the World Economy (IfW)
- Classification
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Wirtschaft
- Subject
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Parameter uncertainty
investor information
option value
Bayesian updating
FDI
Investition
Direktinvestition
Entscheidung bei Unsicherheit
Konjunktur
Realoption
Theorie
Südkorea
- Event
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Geistige Schöpfung
- (who)
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Ni, Shawn
Ratti, Ronald A.
- Event
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Veröffentlichung
- (who)
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Kiel Institute for the World Economy (IfW)
- (where)
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Kiel
- (when)
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2009
- DOI
-
doi:10.5018/economics-ejournal.ja.2009-41
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ni, Shawn
- Ratti, Ronald A.
- Kiel Institute for the World Economy (IfW)
Time of origin
- 2009
Other Objects (12)
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Börsenwissen für erfolgreiche Investments : Analyse, Strategie, Timing
Heterogeneous Parameter Uncertainty and the Timing of Investment during Crisis
Heterogeneous Parameter Uncertainty and the Timing of Investment during Crisis
Timing decisions under model uncertainty
Knightian Uncertainty, k-Ignorance, and Optimal Timing
Concession Length and Investment Timing Flexibility
Investment timing for new business ventures
Preemptive Investment under Uncertainty
Investment decisions under uncertainty
Preemptive investment under uncertainty
Investment and Subjective Uncertainty
Why is the timing of school tracking so heterogeneous?
Börsenwissen für erfolgreiche Investments : Analyse, Strategie, Timing
Heterogeneous Parameter Uncertainty and the Timing of Investment during Crisis
Heterogeneous Parameter Uncertainty and the Timing of Investment during Crisis
Timing decisions under model uncertainty
Knightian Uncertainty, k-Ignorance, and Optimal Timing
Concession Length and Investment Timing Flexibility
Investment timing for new business ventures
Preemptive Investment under Uncertainty
Investment decisions under uncertainty
Preemptive investment under uncertainty
Investment and Subjective Uncertainty
Why is the timing of school tracking so heterogeneous?