The Term Structure of Discount Rates
指出用资产定价模型推断资本预算贴现率存在困难，并构建了一个模型来估计与现金流期限匹配且考虑当前市场条件的贴现率。
M.J. Brennan is the Irwin and Goldyne Hearsh Professor of Banking and Finance, University of California, Los Angeles, and Professor of Finance, London Business School. In this paper, I argue that the use of asset-pricing models to infer discount rates for capital budgeting is fraught with difficulties that are rarely addressed. In the case of the CAPM, two problems of major importance are the choice of risk-free rate and of market-risk premium. Choice of the former is not easy for projects that extend beyond a single period. I argue that the use of long-run historical-average excess returns to estimate the market-risk premium is likely to be misleading, not least because the market-risk premium has been found to vary over time in predictable ways. A model is constructed and estimated which allows the analyst to estimate a discount rate that is appropriate for the maturity of a given cash flow and which takes into account current conditions in the capital markets as represented by the level of shortand long-term interest rates and the dividend yield on the market portfolio which affect the market-risk premium.