| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14889 |
| 来源ID | Working Paper 14889 |
| CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence | |
| Zhi Da; Re-Jin Guo; Ravi Jagannathan | |
| 发表日期 | 2009-04-16 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We argue that the empirical evidence against the Capital Asset Pricing Model (CAPM) based on stock returns does not invalidate its use for estimating the cost of capital for projects in making capital budgeting decisions. Since stocks are backed not only by projects in place, but also the options to modify current projects and undertake new ones, the expected returns on stocks need not satisfy the CAPM even when expected returns of projects do. We provide empirical support for our arguments by developing a method for estimating firms' project CAPM-betas and project returns. Our findings justify the continued use of the CAPM by firms in spite of the mounting evidence against it based on the cross-section of stock returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w14889 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572565 |
| 推荐引用方式 GB/T 7714 | Zhi Da,Re-Jin Guo,Ravi Jagannathan. CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14889.pdf（966KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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