Project valuation and investment decisions: CAPM versus arbitrage
This study shows that (a) project valuation via CAPM contradicts valuation via arbitrage pricing, (b) CAPM-minded decision makers may fail to profit from arbitrage opportunities, (c) Standard CAPM-based valuation violates value additivity. As a consequence, the use of CAPM for project valuation and decision making should be reconsidered.
Volume (Year): 3 (2007)
Issue (Month): 2 ()
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