| This thesis considers two different aspects of investors' entry and exit decisions under stochastic shock. First, I investigate the characteristics of entry and exit decisions of a portfolio choice under uncertainty and how the decisions are influenced by the uncertainty. The model result shows that by adding a risk free asset the exit trigger price of the risky asset is necessarily lower than the Marshallian setting while the entry price is not necessarily higher. Also, I identified the influences of marginal cost, fixed cost and uncertainty on the entry and exit decisions. Secondly, I analyze the relationship of entry and exit rates with cost structure and price volatility using subsector level data. The regression results indicate that the uncertainty is positively linked with the entry rate because the option value is increasing with the volatility. Also, fixed cost is likely to be the factor that generates the hysteresis and widens the inaction zone. |
