CAPM-Based Company (Mis)valuations
研究发现，使用CAPM进行资本预算会导致估值偏差，低贝塔项目被高估，并购中收购低贝塔私人目标会降低收购方回报，估值误差平均占交易价值的12%至33%。
Abstract There is a discrepancy between CAPM-implied and realized returns. Using the CAPM in capital budgeting—as recommended in textbooks—should thus have real effects. For instance, low beta projects should be valued more by CAPM users than by the market. We test this hypothesis using M&A data and show that bids for low-beta private targets entail lower bidder returns. We provide further support by testing several ancillary predictions. Our analyses suggest that using the CAPM when valuing targets leads to valuation errors (relative to the market’s view) corresponding on average to 12% to 33% of the deal values.