Testing the Option Value Theory of Irreversible Investment
作者:Tarek M. Harchaoui、Pierre Lasserre
DOI:10.1111/1468-2354.00104
日期:2001.2
This article statistically tests the option theory of irreversible investment. Using contingent claims valuation, we derive the value of options to invest in capacity, where the projects are endogenous to the economic circumstances prevailing at the investment date. We then test whether decisions made by Canadian copper mines are compatible with the trigger price implied by the theory. Our model explains