| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP12526
|
| DP12526 CAPM-Based Company (Mis)valuations |
| David Thesmar; Jacques Olivier
|
| 发表日期 | 2017-12-21
|
| 出版年 | 2017
|
| 语种 | 英语
|
| 摘要 | There is a discrepancy between CAPM-implied and realized returns. As a result, using the CAPM in capital budgeting decisions { as is recommended in finance textbooks should have valuation effects. For instance, low beta projects are expected to be valued more by CAPM-using managers than by the market. This paper empirically tests this hypothesis using publicly announced M&A decisions. We show that takeovers of
lower beta targets are accompanied by lower CARs for the bidder. Consistent with our hypothesis, the effect is more pronounced for larger acquisitions, higher growth targets, and private targets. Furthermore, low beta bidders are more likely to use their own stock to finance the deal. More generally, low beta firms are less likely to issue equity, and more likely to repurchase shares. These effects are not reversed in the long-run, suggesting that CAPM-using managers may be irrational, though this last test lacks power. |
| 主题 | Financial Economics
|
| URL | https://cepr.org/publications/dp12526
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541337
|
推荐引用方式
GB/T 7714 |
David Thesmar,Jacques Olivier. DP12526 CAPM-Based Company (Mis)valuations. 2017.
|
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