Abstract
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
3
Page
137-140
Number
2
Year
2007
Categories
CAPM/Asset Pricing
Publications
Applied Financial Economics Letters
