TY  - BOOK
AU  - Kellogg,Ryan
ED  - National Bureau of Economic Research.
TI  - The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling 
T2  - NBER working paper series
PY  - 2010///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - November 2010; Hardcopy version available to institutional subscribers
N2  - Despite widespread application of real options theory in the literature, the extent to which firms actually delay irreversible investments following an increase in the uncertainty of their environment is not empirically well-known. This paper estimates firms' responsiveness to changes in uncertainty using detailed data on oil well drilling in Texas and expectations of future oil price volatility derived from the NYMEX futures options market. Using a dynamic model of firms' investment problem, I find that oil companies respond to changes in expected price volatility by adjusting their drilling activity by a magnitude consistent with the optimal response prescribed by theory
UR  - https://www.nber.org/papers/w16541
UR  - http://dx.doi.org/10.3386/w16541
ER  -