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Ambiguita Nell´Applicazione del CAPM per la valutazione degli investimenti

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  • Carlo Alberto Magni

Abstract

Il presente lavoro tratta del classico criterio di capital budgeting derivato dal CAPM,secondo il quale un investimento e conveniente se e solo se il suo tasso di rendimento atteso e maggiore del costo del capitale. Tale criterio e esposto, tra gli altri, da Rubinstein (1973) ed e universalmente ritenuto teoricamente impeccabile. Questo lavoro mostra che esso in realta presenta (apparenti) ambiguita a livello teorico, dal momento che induce l´esistenza di quattro indici di valore (attuale e finale) non coerenti tra loro, due dei quali presentano caratteristiche di non additivita. Il processo di decisione viene riconfigurato sostituendo alla dicotomia investire o non investire" la dicotomia "investire in uno tra due investimenti alternativi" (uno dei quali sara eventualmente rappresentato dall´alternativa nulla). In conseguenza di cio, i due indici non additivi scompaiono, lasciando campo libero ai rimanenti due, che sono equivalenti."

Suggested Citation

  • Carlo Alberto Magni, 2009. "Ambiguita Nell´Applicazione del CAPM per la valutazione degli investimenti," Proyecciones Financieras y Valoración 5549, Master Consultores.
    • Handle: RePEc:col:000463:005549
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    More about this item

    Keywords

    net present value; CAPM; equilibrium; disequilibrium; ambiguities;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies

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