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Investment dynamics with common and private values Author info | Abstract | Publisher info | Download info | Related research | Statistics Levin, Dan
Peck, James
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We study a dynamic investment game with two-dimensional signals, where each firm observes its continuously distributed idiosyncratic cost of investment and a discrete signal correlated with common investment returns. We demonstrate that the one-step property holds and provide an equilibrium existence/characterization result. "Reversals" are possible, where a large number of firms investing in a given round becomes bad news about investment returns. Welfare is compared to static and rigid-timing benchmarks, and computed for large economies.
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Article provided by Elsevier in its journal Journal of Economic Theory .
Volume (Year): 143 (2008)
Issue (Month): 1 (November)
Pages: 114-139
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Handle: RePEc:eee:jetheo:v:143:y:2008:i:1:p:114-139Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622869
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Keywords: Endogenous timing Herding Reversal Multi-dimensional signals ; Other versions of this item:
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Asen Ivanov & Dan Levin & James Peck, 2008.
"Study of a Small-Market Investment Game with Common and Private Values ,"
Working Papers
0801, VCU School of Business, Department of Economics.
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