| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4786 |
| DP4786 Portfolio Diversification, Proximity Investment and City Agglomeration | |
| William Goetzmann; Massimo Massa; Andrei Simonov | |
| 发表日期 | 2004-12-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | The hazard rate of investment is derived within a real option model, and its properties are analysed in order to directly study the relation between uncertainty and investment. Maximum likelihood estimates of the hazard are calculated using a sample of MNEs that have invested in Central and Eastern Europe over the period 1990-98. Employing a standard, parametric specification of the hazard, our measure of uncertainty has a negative effect on investment, but the model is unable to control for non-linearities in the relationship. The option-based hazard shows the importance of non-linearities and exhibits a significant value of waiting, though it is independent of our measure of uncertainty. This finding supports the existence of alternative channels through which uncertainty can affect investment. |
| 主题 | International Trade and Regional Economics |
| 关键词 | Hazard rates Uncertainty Foreign investment |
| URL | https://cepr.org/publications/dp4786 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533700 |
| 推荐引用方式 GB/T 7714 | William Goetzmann,Massimo Massa,Andrei Simonov. DP4786 Portfolio Diversification, Proximity Investment and City Agglomeration. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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