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Leveraged investments and agency conflicts when cash flows are mean reverting

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Publication:1656786
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DOI10.1016/j.jedc.2016.03.006zbMath1401.91550OpenAlexW3121264387MaRDI QIDQ1656786

Gerhard Hambusch, Kristoffer J. Glover

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/122113

zbMATH Keywords

investmentmean reversionreal optionagency conflicts


Mathematics Subject Classification ID

Financial applications of other theories (91G80) Corporate finance (dividends, real options, etc.) (91G50)




Cites Work

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  • The Pricing of Options and Corporate Liabilities
  • Irreversible exit decisions under mean-reverting uncertainty
  • Investment under alternative return assumptions
  • The effect of mean reversion on investment under uncertainty
  • How big is the debt overhang problem?
  • The effect of mean reversion on entry and exit decisions under uncertainty
  • Irreversible investment with Cox-Ingersoll-Ross type mean reversion
  • A real options approach to the valuation of a forestry investment.
  • A Theory of the Term Structure of Interest Rates
  • THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
  • An Intertemporal Capital Asset Pricing Model
  • A Dynamic Model of Optimal Capital Structure
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