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T. Dangl, Y. Wu:
"Corporate Investment over Uncertain Business Cycles";
Vortrag: 15th Conference of the Swiss Society for Financial Market Research, Zürich; 30.03.2012.

We develop a model of investment over the business cycle when there is
uncertainty about the true state of the economy. The interaction between the
expected demand growth rate and the option value of waiting leads to a convex
relation between a rm's optimal capacity and its posterior belief of being in
an expansion. This convex relation, together with the endogenous distribution
of rms relative to their optimal capacities, causes rms in aggregate to react
more strongly to negative signals during an expansion than to positive signals
during a recession. Our model reconciles strikingly di erent patterns of capital
growth rates at the rm and aggregate levels that we empirically document.
Despite the strong positive skewness of capital growth rate at the rm level,
the average capital growth rate across rms is negatively skewed, and features
fast decline and slow recovery.

corporate investment, Bayesian learning