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Options de croissance, coût du capital et valeur des investissements

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  • Jean-Claude Gabillon

Abstract

In a model where firms have important growth options we show that weighted average cost of capital is not an appropriate discount rate for valuing investment projects. Growth options have a different risk level than assets in place. If the new assets have the same risk as assets in place then the value of the new assets is not equal to the total cash-flow discounted with the cost of capital. Moreover, in the case of an unlevered firm, despite background risk with constant conditionals moments, the conditionals expectation and volatility of equity returns are stochastic time series.

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  • Jean-Claude Gabillon, 2009. "Options de croissance, coût du capital et valeur des investissements," Annals of Economics and Statistics, GENES, issue 93-94, pages 259-277.
    • Handle: RePEc:adr:anecst:y:2009:i:93-94:p:259-277
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