资本资产定价模型与资本预算:现在与未来,均衡与非均衡,决策与估值

C. Magni
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引用次数: 5

摘要

本文讨论了CAPM在投资决策和评估中的应用。从该模型中推导出四种不同的度量:非均衡净现值、均衡净现值、非均衡净未来价值、均衡净未来价值。结果表明,它们都可以用于接受-拒绝决策,但只有均衡净现值和非均衡净未来价值可以用于估值,因为它们具有可加性。如果将“投资/不投资”的决策问题重新定义为“投资Z/投资Y”,则无法从CAPM假设中扣除这两个不可加性指标。尽管它们具有可加性,但均衡净现值和非均衡净未来价值对于估值和决策来说都是不可靠的,因为每当存在某种自然状态时,它们就会相对于期末现金流减少函数,因此它们不会发出套利机会的信号。在这种情况下,一个项目的均衡价值并不是它在证券市场上交易时的价格。这个结果是Dybvig和Ingersoll(1982)的结果的资本预算对应。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
CAPM and Capital Budgeting: Present versus Future, Equilibrium versus Disequilibrium, Decision versus Valuation
This paper deals with the use of the CAPM for investment decisions and evaluations. Four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future Value, the equilibrium Net Future Value. It is shown that all of them may be used for accept-reject decisions, but only the equilibrium Net Present Value and the disequilibrium Net Future Value may be used for valuation, given that they enjoy the additivity property. The two nonadditive indexes cannot be deducted from the CAPM assumptions if the decision problem “invest/no invest” is reframed as “invest in Z/invest in Y”. Despite their additivity, the equilibrium Net Present Value and the disequilibrium Net Future Value are unreliable for both valuation and decision, because they do not signal arbitrage opportunities whenever there is some state of nature for which they are decreasing functions with respect to the end-of-period cash flow. In this case, the equilibrium value of a project is not the price it would have if it were traded in the security market. This result is the capital-budgeting counterpart of Dybvig and Ingersoll’s (1982) result.
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