CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Hamada, Robert S, 1969. "Portfolio Analysis, Market Equilibrium and Corporation Finance," Journal of Finance, American Finance Association, vol. 24(1), pages 13-31, March.
- Rubinstein, Mark E, 1973. "A Mean-Variance Synthesis of Corporate Financial Theory," Journal of Finance, American Finance Association, vol. 28(1), pages 167-181, March.
- Senbet, Lemma W & Thompson, Howard E, 1978. "The Equivalence of Alternative Mean-Variance Capital Budgeting Models," Journal of Finance, American Finance Association, vol. 33(2), pages 395-401, May.
- Lewellen, Wilbur G, 1977. "Some Observations on Risk-Adjusted Discount Rates," Journal of Finance, American Finance Association, vol. 32(4), pages 1331-1337, September.
- Carlo Alberto Magni, 2007.
"Project valuation and investment decisions: CAPM versus arbitrage,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(2), pages 137-140.
- Magni, Carlo Alberto, 2007. "Project valuation and investment decisions: CAPM versus arbitrage," MPRA Paper 14525, University Library of Munich, Germany.
- Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
- Bierman, Harold, Jr & Hass, Jerome E, 1973. "Capital Budgeting Under Uncertainty: A Reformulation," Journal of Finance, American Finance Association, vol. 28(1), pages 119-129, March.
- Bogue, Marcus C & Roll, Richard, 1974. "Capital Budgeting of Risky Projects with "Imperfect" Markets for Physical Capital," Journal of Finance, American Finance Association, vol. 29(2), pages 601-613, May.
- Dybvig, Philip H & Ingersoll, Jonathan E, Jr, 1982. "Mean-Variance Theory in Complete Markets," The Journal of Business, University of Chicago Press, vol. 55(2), pages 233-251, April.
- Ekern, Steinar, 2006. "A Dozen Consistent CAPM-Related Valuation Models - So Why Use the Incorrect One?," Discussion Papers 2006/6, Norwegian School of Economics, Department of Business and Management Science, revised 25 Apr 2007.
- Carlo Alberto Magni, 2007.
"Project selection and equivalent CAPM-based investment criteria,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 165-168.
- Magni, Carlo Alberto, 2007. "Project selection and equivalent CAPM-based investment criteria," MPRA Paper 14526, University Library of Munich, Germany.
- Donald L. Tuttle & Robert H. Litzenberger, 1968. "Leverage, Diversification And Capital Market Effects On A Risk‐Adjusted Capital Budgeting Framework," Journal of Finance, American Finance Association, vol. 23(3), pages 427-443, June.
- Mossin, Jan, 1969. "Security Pricing and Investment Criteria in Competitive Markets," American Economic Review, American Economic Association, vol. 59(5), pages 749-756, December.
- Stapleton, Richard C, 1974. "Capital Budgeting under Uncertainty: A Reformation: Comment," Journal of Finance, American Finance Association, vol. 29(5), pages 1583-1584, December.
- Litzenberger, Robert H. & Budd, Alan P., 1970. "Corporate Investment Criteria and the Valuation of Risk Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 5(4-5), pages 395-419, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Magni, Carlo Alberto, 2009.
"Splitting up value: A critical review of residual income theories,"
European Journal of Operational Research, Elsevier, vol. 198(1), pages 1-22, October.
- Carlo Alberto, Magni, 2008. "Splitting Up Value: A Critical Review of Residual Income Theories," MPRA Paper 10506, University Library of Munich, Germany.
- Magni, Carlo Alberto, 2005. "Theoretical Flaws In The Use Of The Capm For Investment Decisions," MPRA Paper 6330, University Library of Munich, Germany, revised Nov 2007.
- Magni, Carlo Alberto, 2005. "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper 7359, University Library of Munich, Germany, revised 27 Feb 2008.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Magni, Carlo Alberto, 2009.
"Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?,"
European Journal of Operational Research, Elsevier, vol. 192(2), pages 549-560, January.
- Magni, Carlo Alberto, 2007. "Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?," MPRA Paper 5471, University Library of Munich, Germany.
- Magni, Carlo Alberto, 2005. "Theoretical Flaws In The Use Of The Capm For Investment Decisions," MPRA Paper 6330, University Library of Munich, Germany, revised Nov 2007.
- Carlo Alberto Magni, 2007.
"Project selection and equivalent CAPM-based investment criteria,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(3), pages 165-168.
- Magni, Carlo Alberto, 2007. "Project selection and equivalent CAPM-based investment criteria," MPRA Paper 14526, University Library of Munich, Germany.
- Carlo Alberto Magni, 2008.
"CAPM‐based capital budgeting and nonadditivity,"
Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 26(5), pages 388-398, August.
- Magni, Carlo Alberto, 2006. "CAPM-based capital budgeting and nonadditivity," MPRA Paper 7290, University Library of Munich, Germany.
- Magni, Carlo Alberto, 2005.
"Firm Value and the mis-use of the CAPM for valuation and decision making,"
MPRA Paper
7093, University Library of Munich, Germany.
- Magni, Carlo Alberto, 2005. "Firm Value and the mis-use of the CAPM for valuation and decision making," MPRA Paper 6608, University Library of Munich, Germany.
- David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on Shareholders’ Systematic Risk," Sustainability, MDPI, vol. 11(23), pages 1-23, November.
- Kusano, Masaki, 2018.
"Effect of capitalizing operating leases on credit ratings: Evidence from Japan,"
Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 30(C), pages 45-56.
- Masaki Kusano, 2017. "Effect of Capitalizing Operating Leases on Credit Ratings:Evidence from Japan," Discussion papers e-16-016, Graduate School of Economics , Kyoto University.
- Magni, Carlo Alberto, 2016.
"Capital depreciation and the underdetermination of rate of return: A unifying perspective,"
Journal of Mathematical Economics, Elsevier, vol. 67(C), pages 54-79.
- Magni, Carlo Alberto, 2016. "Capital depreciation and the underdetermination of rate of return: A unifying perspective," MPRA Paper 77401, University Library of Munich, Germany.
- Carlo Alberto Magni & Ken V. Peasnell, 2015. "The Term Structure of Capital Values:An accounting-based framework for measuring economic profitability," Department of Economics 0060, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Magni, Carlo Alberto, 2005. "Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I," MPRA Paper 7359, University Library of Munich, Germany, revised 27 Feb 2008.
- John McDonald, 2010. "The Q theory of investment, the capital asset pricing model and the capitalization rate in real estate valuation," Applied Financial Economics, Taylor & Francis Journals, vol. 20(14), pages 1133-1143.
- Carlo Alberto Magni, 2007.
"Project valuation and investment decisions: CAPM versus arbitrage,"
Applied Financial Economics Letters, Taylor & Francis Journals, vol. 3(2), pages 137-140.
- Magni, Carlo Alberto, 2007. "Project valuation and investment decisions: CAPM versus arbitrage," MPRA Paper 14525, University Library of Munich, Germany.
- A. Rashad Abdel†Khalik, 1990. "Specification problems with information content of earnings: revisions and rationality of expectations and self†selection bias," Contemporary Accounting Research, John Wiley & Sons, vol. 7(1), pages 142-172, September.
- Jongmoo Jay Choi & Frank J. Fabozzi & Uzi Yaari, 1989. "Optimum Corporate Leverage With Risky Debt: A Demand Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 129-142, June.
- Roland Pérez, 1971. "Décisions financières et valeur de l'entreprise. Deux approches néo-classiques alternatives," Revue Économique, Programme National Persée, vol. 22(5), pages 792-811.
- Bavesh M Patel, 1999. "A Critical Review of the Paper," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 24(1), pages 37-40, January.
- Robert A. Taggart, Jr., 1989. "Consistent Valuation and Cost of Capital Expressions with Corporate and Personal TAxes," NBER Working Papers 3074, National Bureau of Economic Research, Inc.
- Hayette Gatfaoui, 2010. "Capital Asset Pricing Model," Post-Print hal-00589904, HAL.
- Silva, A. Christian & Prange, Richard E., 2007. "Virtual volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 507-516.
- François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
More about this item
Keywords
Capital budgeting; investment appraisal; project; risk-adjusted rate of return; CAPM; equilibrium; disequilibrium; present value; future value; decision; valuation; cost; risk;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G3 - Financial Economics - - Corporate Finance and Governance
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
NEP fields
This paper has been announced in the following NEP Reports:- NEP-PPM-2007-11-03 (Project, Program and Portfolio Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:5468. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.