Investment, capital market imperfections, and uncertainty : theory and empirical results

書誌事項

Investment, capital market imperfections, and uncertainty : theory and empirical results

Robert Lensink, Hong Bo and Elmer Sterken

Edward Elgar, c2001

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注記

Includes bibliographical references (p. 137-148) and indexes

内容説明・目次

内容説明

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 innovative book will 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.

目次

Contents: 1. Introduction Part I: Capital Market Imperfections 2. Investment and Capital Market Imperfections: Theory 3. Investment and Capital Market Imperfections: Empirics Part II: Investment under Uncertainty 4. Investment under Uncertainty: Orthodox Models 5. The Option Approach to Investment under Uncertainty 6. Empirics of the Investment Uncertainty Relationship Part III: Conclusion 7. Conclusions Part IV: Appendices A. Derivation of the q and Euler Model B. Utility Functions and Assumptions Regarding Risk C. Ito's Lemma and Dynamic Programming Bibliography Index

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詳細情報
  • NII書誌ID(NCID)
    BA54934248
  • ISBN
    • 1840640855
  • 出版国コード
    uk
  • タイトル言語コード
    eng
  • 本文言語コード
    eng
  • 出版地
    Cheltenham
  • ページ数/冊数
    ix, 155 p.
  • 大きさ
    23 cm
  • 分類
  • 件名
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