The Multi-Period CAPM and the Valuation of Multi-Period Stochastic Cash Flows
推导了一个与理性风险厌恶投资者行为和证券市场均衡一致的多期随机现金流估值公式，表明CAPM无需逐期应用，可用单一贝塔衡量风险，并探讨了现金流与期限结构变化的协方差作为风险度量的条件。
This paper develops a valuation formula for multi-period stochastic cash flows consistent with rational risk-averse investor behavior and equilibrium in securities markets. It shows that the CAPM does not have to be sequentially applied in discounting of the cash flows of multi-period projects, and a single beta can be used to measure the riskiness of an uncertain income stream. Hence, a multi-period project is priced as if it offers a single payment. The formula uses a set of assumptions that is slightly more restrictive than the minimum set Constantinides (1980) uses to produce the multi-period version of the CAPM. This paper also demonstrates that, under certain assumptions, covariances of stochastic cash flows with changes in the term structure may be sufficient measures of the cash flows' riskiness.