How long is the firm's forecast horizon?
Article Abstract:
A study was conducted to pinpoint the forecast horizon that is most consistent with the observed behavior of American manufacturing firms. The assumption of this examination is that firms develop expectations of prices and discount rates for a finite forecast horizon and that they accept static expectations for prices after the forecast horizon ends. Results showed that decision rules related to forecast horizons of three or four years are most consistent with observed firm behavior. The static expectations case, on the other hand, seem to be most consistent with financial market evaluations.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1996
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Continuous time vs. backward induction: a new approach to modelling reputation in the finite time horizon context
Article Abstract:
A continuous time framework is shown as a new way of modeling reputation. A model of reputation for predatory pricing with potential entrants assumed to arrive via a Poisson process is developed. It is shown that the possibility of a reputation for predatory pricing exists even in a finite time framework. The analysis which focuses on the predatory pricing case may also apply when considering reputation and/or cooperation.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 1995
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Pricing options on leveraged equity with default risk and exponentially increasing, finite maturity debt
Article Abstract:
The Ericsson/Reneby framework for the pricing of corporate securities is extended to derive a valuation formula for calls on leverage equity. A more probabilistic approach using change of numeraire techniques is used in the extended framework. The framework features exponentially increasing, finite maturity coupon debt, along with taxes and deviations from absolute priority.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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