Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/9971
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dc.contributor.authorDias, J. C.-
dc.contributor.authorShackleton, M. B.-
dc.date.accessioned2015-10-12T17:31:25Z-
dc.date.available2015-10-12T17:31:25Z-
dc.date.issued2011-
dc.identifier.issn0377-2217por
dc.identifier.urihttps://ciencia.iscte-iul.pt/public/pub/id/9530-
dc.identifier.urihttp://hdl.handle.net/10071/9971-
dc.descriptionWOS:000288840800016 (Nº de Acesso Web of Science)-
dc.description.abstractMost decision making research in real options focuses on revenue uncertainty assuming discount rates remain constant. However, for many decisions revenue or cost streams are relatively static and investment is driven by interest rate uncertainty, for example the decision to invest in durable machinery and equipment. Using interest rate models from Cox et al. (1985b), we generalize the work of Ingersoll and Ross (1992) in two ways. Firstly, we include real options on perpetuities (in addition to zero coupon cash flows). Secondly, we incorporate abandonment or disinvestment as well as investment options, and thus model interest rate hysteresis (parallel to revenue uncertainty in Dixit (1989a)). Under stochastic interest rates, economic hysteresis is found to be significant, even for small sunk costs.por
dc.language.isoengpor
dc.publisherElsevierpor
dc.rightsopenAccesspor
dc.subjectFinancepor
dc.subjectReal optionspor
dc.subjectInterest rate uncertaintypor
dc.subjectPerpetuitiespor
dc.subjectInvestment hysteresispor
dc.titleHysteresis effects under CIR interest ratespor
dc.typearticleen_US
dc.pagination594-600por
dc.publicationstatusPublicadopor
dc.peerreviewedSimpor
dc.relation.publisherversionThe definitive version is available at: http://dx.doi.org/10.1016/j.ejor.2010.12.021por
dc.journalEuropean Journal of Operational Researchpor
dc.distributionInternacionalpor
dc.volume211por
dc.number3por
degois.publication.firstPage594por
degois.publication.lastPage600por
degois.publication.issue3por
degois.publication.titleEuropean Journal of Operational Researchpor
dc.date.updated2015-10-12T17:26:05Z-
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