Magni, Carlo Alberto (2007): Project valuation and investment decisions: CAPM versus arbitrage. Published in: Applied Financial Economics Letters , Vol. 3, No. 1 (March 2007): pp. 137-140.
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This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should be reconsidered.
|Item Type:||MPRA Paper|
|Original Title:||Project valuation and investment decisions: CAPM versus arbitrage|
|Keywords:||Investment, valuation, CAPM, arbitrage, disequilibrium NPV|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G3 - Corporate Finance and Governance > G31 - Capital Budgeting; Fixed Investment and Inventory Studies; Capacity
G - Financial Economics > G3 - Corporate Finance and Governance > G30 - General
|Depositing User:||Carlo Alberto Magni|
|Date Deposited:||08. Apr 2009 03:23|
|Last Modified:||12. Feb 2013 14:43|
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