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The effect of mean reversion on entry and exit decisions under uncertainty

机译：不确定条件下均值回归对进出决策的影响

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摘要

Many economic variables of interest exhibit a tendency to revert to predictable long-run levels. However, mean reverting processes are rarely used in investment models in the literature. In most models, geometric Brownian motion processes are used for tractability. In this paper, a firm's entry and exit decisions when the output equilibrium price follows an exogenous mean reverting process are examined, and then compared to the decisions of the firm under the usually employed assumption of lognormally distributed output price, presented in Dixit (1989a). By extending previous work by Sarkar (2003) to account for costly reversibility, we show that mean reversion has a significant effect, not only on firm-specific entry and exit decisions, but also on the balance of entering and exiting firms in an industry/market. Thus it would be erroneous to use the more tractable geometric Brownian motion process as an approximation for a mean-reverting process in models and investigations of aggregate industry investment.
机译：许多感兴趣的经济变量都表现出恢复到可预测的长期水平的趋势。但是，文献中很少在投资模型中使用均值回复过程。在大多数模型中，使用几何布朗运动过程来提高可处理性。本文研究了当产出均衡价格遵循外生均值回复过程时企业的进入和退出决策，然后将其与Dixit（1989a）中通常采用对数正态分布的产出价格的假设下的企业决策进行比较。 。通过扩展Sarkar（2003）的先前工作来解释代价高昂的可逆性，我们表明均值回归不仅对公司特定的进入和退出决策有重大影响，而且对行业/行业中进入和退出公司的平衡也有重大影响。市场。因此，在总行业投资的模型和研究中，使用更易处理的几何布朗运动过程作为均值回归过程的近似是错误的。

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