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CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
This paper deals with the use of the CAPM for capital budgeting purposes. Four different measures are deductively drawn from this model: the disequilibrium Net Present Value, the equilibrium Net Present Value, the disequilibrium Net Future Value, the equilibrium Net Future Value. While all of...
Persistent link: https://www.econbiz.de/10005055505
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Accounting and economic measures: an integrated theory of capital budgeting
Magni, Carlo Alberto - MASTER CONSULTORES - 2009
average accounting rate generates a decision rule which is logically equivalent to the NPV rule for both accept …
Persistent link: https://www.econbiz.de/10010762964
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Risk aversion in the large and in the small
Haug, Jørgen; Hens, Thorsten; Woehrmann, Peter - In: Economics Letters 118 (2013) 2, pp. 310-313
Estimates of agents’ risk aversion differ between market studies and experimental studies. We demonstrate that these estimates can be reconciled through consistent treatment of agents’ propensity for narrow framing.
Persistent link: https://www.econbiz.de/10011041715
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Correct or Incorrect Application of CAPM? Correct or Incorrect Decisions With CAPM?
Magni, Carlo Alberto - 2009
) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing … Model, (ii) the use of the disequilibrium NPV is widespread in finance both as a decision rule and as a valuation tool, (iii …'s (2005) project valuation method, on the basis of which Magni's criticism to NPV is objected, leaves decision makers open to …
Persistent link: https://www.econbiz.de/10012766858
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Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM?
Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007
) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing … Model, (ii) the use of the disequilibrium NPV is widespread in finance both as a decision rule and as a valuation tool, (iii …’s (2005) project valuation method, on the basis of which Magni’s criticism to NPV is objected, leaves decision makers open to …
Persistent link: https://www.econbiz.de/10005836868
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Strategic options and expert systems: a fruitful marriage
Magni, Carlo Alberto; Mastroleo, Giovanni; Vignola, Marina - MASTER CONSULTORES - 2009
Business economics does not provide any methodology for appraising strategic investments, relying on informal approaches. Conversely, financial economics offers us plenty of sophisticated mathematical models unsuitable for applications and based on unrealistic assumptions. This paper presents an...
Persistent link: https://www.econbiz.de/10010763043
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Investment decisions, NPV and bounded rationality
Magni, Carlo Alberto - MASTER CONSULTORES - 2010
sound decision model. In real-life applications, decision makers use the NPV rule, but apply a subjectively determined …
Persistent link: https://www.econbiz.de/10010763079
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International Evidence on the Equity Premium Puzzle and Time Discounting
Rieger, Marc Oliver; Hens, Thorsten; Wang, Mei - In: Multinational Finance Journal 17 (2013) 3-4, pp. 149-163
We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey...
Persistent link: https://www.econbiz.de/10011103236
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Market Selection of Financial Trading Strategies: Global Stability
Evstigneev, Igor V.; Hens, Thorsten; Schenk-Hoppé, … - Institut für Volkswirtschaftslehre, …
In this paper we analyze the long-run dynamics of the market selection process among simple trading strategies in an incomplete asset market with endogenous prices. We identify a unique surviving financial trading strategy. Investors following this strategy asymptotically gather total market...
Persistent link: https://www.econbiz.de/10005760921
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An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index
Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin - In: Swiss Journal of Economics and Statistics (SJES) 138 (2002) IV, pp. 465-487
This paper presents an application of evolutionary portfolio theory to stocks listed in the Swiss Market Index (SMI). We study numerically the long-run outcome of the competition of rebalancing rules for market shares in a stock market with actual dividends taken from firms listed in the SMI....
Persistent link: https://www.econbiz.de/10005125238