Optimal Investment Behaviour Under Capital Market Imperfections PDF Download

Author: Heikki Koskenkylä
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Tsvetomir Tsachev
Publisher:
ISBN:
Category :
Languages : en
Pages : 26

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We study the investment behaviour of a producer maximizing the present value of his firm over an infinite time horizon and having investments bounded below by zero (irreversibility of capital) and bounded above by his current profit (capital market imperfections). In our model the interest rate, the wage and the price of the unique good, which serves also as capital, are assumed known and held fixed. We find the optimal investment behaviour in the form of a feed-back function depending on the current capital level. We also present some numerical simulations illustrating the effects from changes in each of the problems parameters.

Author: Sijing Zong
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 326

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My dissertation is a study of corporate investment behavior under market imperfections. This dissertation is structured as three inter-related essays that each addresses a particular aspect of the investment behavior of firms and all share common themes which are 1) market imperfections complicate managerial decisions on investments; and 2) the models based on perfect market assumptions may not be correct. The first essay, The relationship between internal cash flow and investments, studies the puzzle of the sensitivity of corporate investments to internal cash flows and finds that a U-shaped sensitivity curve between investment and cash flows can be clearly identified in the U.S. and in most other countries studied. The second essay, The relationship between market valuation and corporate investments, studies the relationship between stock market valuation and firm investments using a model controlling for many market imperfection components and employing simultaneous equations estimates. Essay two finds that both market perceptions and fundamental factors are important influences on corporate investment decisions. Moreover, we document that market valuation has a much higher impact on investment than fundamental variables, which seems to be consistent with the contentions in Barro (1990) and Baker et al. (2003). The third essay, Who will benefit from diversification: a transaction cost view of diversified firms, studies the issue of diversification and using data for a number of countries finds that both firm-level and country-level variables are important determinants of the excess values of diversified firms. We find that country risk, legal system, country disclosure level, information asymmetry measures, and agency cost measures are all important factors that influence diversified firm values. Our findings are largely consistent with those suggested by the transaction cost theory and provide a new perspective for the evaluations of firm diversification. In summary, this dissertation studies the impacts of market imperfections on corporate investment decisions and suggests that when operating in an imperfect market, a firm's investment decision-making process is influenced by cash flows, stock prices, and transactions costs, and is much more complicated than in perfect markets.

Author: Michael Marquardt
Publisher: GRIN Verlag
ISBN: 3640565371
Category : Business & Economics
Languages : en
Pages : 81

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Research Paper (undergraduate) from the year 2010 in the subject Business economics - General, grade: 1,3, University of Applied Sciences Northwestern Switzerland, language: English, abstract: The Efficient market hypothesis can be considered as part of rational economics but it does not specify at all how individuals should or will act. Therefore it might be a useful model of the functioning of the market as a whole but it does not explain the behaviors of investors as well as managers and other participants. While the Efficient market hypothesis deals as a basis for understanding the normal working of the markets, from time to time it might happen that the market as a whole or an individual stock may act irrationally. Such behavior is well known and generally occurs when the market price of a share turns away from its intrinsic value. The result is what commonly is called a bubble. This term is often used but the reasons for the occurrence are quite unclear. In fact, at the same time as the market as a whole has become more efficient, instances of irrationality have become more common or at least appear to be. Therefore we try to discuss the question why capital markets, which are considered as efficient and perfect in theory, are volatile and imperfect in reality. The paper responds to this question by discussing mainly the irrational behavior of people by turning into the field of psychology. Furthermore it seeks for approaches of explanation conducted by different investment strategies containing among others an increased use of derivative instruments or single trades based on massive capacity which therefore influence prices. Methodology and Structure of the paper In general the paper can be divided in 3 parts, a theoretical as well as an analytical one and a final point the Conclusion (Part C) which sums up the basic findings of the paper. Whereas Part A can be regarded as delivering the theoretical background, Part B contains the empirical analysis b

Author: Heikki Koskenkylä
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 356

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Author: Liang-Yn Liu
Publisher:
ISBN:
Category : Balance of payments
Languages : en
Pages : 370

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Author: Robert Lensink
Publisher: Edward Elgar Publishing
ISBN: 9781782541240
Category : Business & Economics
Languages : en
Pages : 176

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This book presents an up-to-date overview of the theory as well as the empirics of the relationship between investment, financial imperfections and uncertainty. After reviewing the capital market imperfections literature and the empirical results, the authors discuss both traditional investment models with uncertainty and the more modern option based models. They present an overview of empirical results of the modelling of investment under uncertainty. In these examples the effects of capital market imperfections on investment are carefully considered. The authors conclude that there is overwhelming empirical support for a negative uncertainty-investment relationship. This book should appeal to academics with an interest in investment theory, professionals in the financial sector and students of macroeconomics and finance. "Investment, Capital Market Imperfections, and Uncertainty" assumes only a basic knowledge of mathematics and is easily accessible.

Author: Oleksandr Shcherbakov
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 42

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Author: G. Constantinides
Publisher: Elsevier
ISBN: 9780444513632
Category : Business & Economics
Languages : en
Pages : 698

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Arbitrage, State Prices and Portfolio Theory / Philip h. Dybvig and Stephen a. Ross / - Intertemporal Asset Pricing Theory / Darrell Duffle / - Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance / Wayne E. Ferson / - Consumption-Based Asset Pricing / John y Campbell / - The Equity Premium in Retrospect / Rainish Mehra and Edward c. Prescott / - Anomalies and Market Efficiency / William Schwert / - Are Financial Assets Priced Locally or Globally? / G. Andrew Karolyi and Rene M. Stuli / - Microstructure and Asset Pricing / David Easley and Maureen O'hara / - A Survey of Behavioral Finance / Nicholas Barberis and Richard Thaler / - Derivatives / Robert E. Whaley / - Fixed-Income Pricing / Qiang Dai and Kenneth J. Singleton.

Author: Sushil Bikhchandani
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 38

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