مقاله انگلیسی رایگان در مورد حساسیت عدم قطعیت منفی سرمایه گذاری و ساختار بازار (الزویر)

Several studies have examined how uncertainty affects firms’ investment decisions using micro data (e.g., Leahy and Whited, 1996; Guiso and Parigi, 1999). Most studies find a negative sensitivity of investment to uncertainty. Theoretically, uncertainty can affect investment in two opposing ways. Hartman (1972) and Abel (1983) argue that higher uncertainty can increase investment if the marginal value of capital is a convex function of uncertainty. On the other hand, McDonald and Siegel (1986) and Dixit and Pindyck (1994) demonstrate that uncertainty can decrease investment based on the real options theory. The early literature on real options analyzes optimal investment for a firm in isolation. Firms’ investment decisions under uncertainty can be affected by industry competition. Recent developments include models that allow for strategic interaction between firms. Grenadier (2002) examines the impact of strategic competition on real options. He derives an expression for the option premium to delay investment and shows that the premium is a decreasing function of the number of competitors. Industry competition erodes the value of waiting and increased competition lowers the investment trigger, and thus accelerates investment. Meanwhile, Novy-Marx (2007) analyzes the investment behavior of competitive firms with heterogeneous existing capacity. He shows that competition does not erode the option premium. Focusing on the strategic rivalry between duopoly firms, Kulatilaka and Perotti (1998) examine the investment threshold of a leader firm and show that high volatility may lower the threshold and increase the firm’s strategic investment. A few studies have attempted to test these predictions using micro data. Bulan (2005) examines the effect of industry competition on investment using US firm data. She splits the sample by industry concentration ratios and regresses investment on uncertainty variables. She finds the negative sensitivity of investment to uncertainty only for less competitive firms. Guiso and Parigi (1999) and Drakos and Goulas (2006) use firm-level data and split the sample by firms’ market power. They find that the negative uncertainty sensitivity becomes stronger for firms with higher market power. This paper investigates how industry competition changes the sensitivity of investment to uncertainty, using Japanese firm data. A switching regression model is employed to test predictions of the real options theory regarding a potential role for market structure variables to influence firms’ investment decisions under uncertainty. Contrary to previous studies, we find that firms with larger market shares are less cautious to invest.