Do We Need CAPM for Capital Budgeting?
质疑资本预算中广泛使用的CAPM模型，指出其理论基础和输入参数（如历史股权溢价）存在严重问题，并解释为何尽管模型有缺陷，实践中却无人抱怨。
A key input to the capital budgeting process is the cost of capital. Financial managers most often use the CAPM to estimate the cost of capital for which they need to know the market risk premium. Textbooks advocate using the historical value for the US equity premium as the market risk premium. The CAPM as a model has been seriously challenged in the academic literature. In addition, recent research indicates that the true market risk premium might have been as low as half the historical US equity premium during the last two decades. If business finance courses have been teaching the use of the wrong model along with wrong inputs for 20 years, why has no one complained? We provide an answer to this puzzle. The classic rule for making capital budgeting decisions is to take projects with positive Net Present Value (NPV). Consider a project that generates an annual, real cash flow of 100,000 forever, starting one year from now. The initial investment is 1,600,000. To decide whether to invest in this project or not, we discount all future cash flows and subtract the initial investment to get the NPV. The decision rule is then simple: If the NPV is positive, take it; if the NPV is negative, leave it. The current textbooks used in all major MBA courses advise financial managers to calculate the cost of capital based on the Capital Asset Pricing Model (CAPM). The project’s