How Do Investors Compute the Discount Rate? They Use the CAPM (Corrected June 2017)
通过观察共同基金投资者的资本配置决策，发现他们使用CAPM的贝塔值来调整风险并计算贴现率，而CAPM的扩展模型表现不佳。
We provide guidance to corporate managers and investors on how to select the discount rate when evaluating investment opportunities. When making corporate investment decisions on behalf of the equity investors in a firm, an obvious choice is to use the method that equity investors use in making their own investment decisions. We infer how investors compute the discount rate by looking at mutual fund investors’ capital allocation decisions. We find that investors adjust for risk by using the beta of the capital asset pricing model (CAPM). Extensions to the CAPM perform poorly, implying that investors do not use these models to compute discount rates.