Leaders, followers, and equity risk premiums in booms and busts


Hokkaido University \| Library \| HUSCAP	Advanced Search		言語

	Home
	About HUSCAP
	Open Access Policy

	Browse by Author

Browse
	Communities & Collections

	Scholarly Journals
	Theses
	Doctoral Dissertations Listed by Graduate Schools
	Conference Procs.
	Events

	HUSCAP Senior (in Japanese)

	Societies

	Top 50 Papers (last 1 month)
	Downloads (country)

For university staff
	How to post your papers to HUSCAP
	Theses publication info
	Helpline about theses publication

Open Archives Compliant

You can search our collection also at:
	Google
	Google Scholar
	CiNii
	IRDB
	OAIster
	NDLTD

Files in This Item:

MarkovRegime_JBF_20160608.pdf

298.67 kB

PDF

Please use this identifier to cite or link to this item:http://hdl.handle.net/2115/79037

Title:	Leaders, followers, and equity risk premiums in booms and busts
Authors:	Goto, Makoto Browse this author →KAKEN DB
	Nishide, Katsumasa Browse this author
	Takashima, Ryuta Browse this author
Keywords:	Real options
	Competition
	Risk premium
	Regime uncertainty
Issue Date:	Aug-2017
Publisher:	Elsevier
Journal Title:	Journal of banking & finance
Volume:	81
Start Page:	207
End Page:	220
Publisher DOI:	10.1016/j.jbankfin.2016.08.010
Abstract:	We study an investment problem in which two asymmetric firms face competition and the regime characterizing the economic condition follows a Markov switching process. We derive the value functions and investment thresholds of the leader and follower. The option value of regime uncertainty is found to be quite important for the investment decision of firms. We also show the relationship between the equity risk premium and the economic cycle that has not been done in previous studies, which proxy economic conditions by the level of demand or other state variables.
Rights:	http://creativecommons.org/licenses/by-nc-nd/4.0/
Type:	article (author version)
URI:	http://hdl.handle.net/2115/79037
Appears in Collections:	経済学院・経済学研究院 (Graduate School of Economics and Business / Faculty of Economics and Business) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)

Submitter: 後藤允

OAI-PMH ( junii2 , jpcoar_1.0 )

- Hokkaido University