Theoretical Flaws in the Use of the CAPM For Investment Decisions

C. Magni
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引用次数: 4

Abstract

This paper uses counterexamples and simple formalization to show that the standard CAPM-based Net Present Value may not be used for investment valuations. The reason is that the standard CAPM-based capital budgeting criterion implies a notion of value which does not comply with the principle of additivity. Framing effects arise in decisions so that different descriptions of the same problem lead to different choices. As a result, the CAPM-based NPV as a tool for valuing projects and making investment decisions is theoretically unsound, even if the CAPM assumptions are met.
在投资决策中使用CAPM的理论缺陷
本文使用反例和简单的形式化来表明,标准的基于capm的净现值可能不能用于投资估值。其原因是标准的基于capm的资本预算准则隐含了一个不符合可加性原则的价值概念。框架效应在决策中产生,因此对同一问题的不同描述会导致不同的选择。因此,即使满足CAPM假设,基于CAPM的NPV作为评估项目和做出投资决策的工具在理论上也是不可靠的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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