Do we need CAPM for capital budgeting?

Financial Management

Volumn 31, Issue 4, 2002, Pages 55-77

  Jagannathan, Ravi ^a   Meier, Iwan ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036956101     PISSN: 00463892     EISSN: None     Source Type: Journal    
DOI: 10.2307/3666174     Document Type: Review

References (60)

1. Amihud, Y., B.J. Christensen, and H. Mendelson, 1992, "Further Evidence on the Risk-Return Relationship," Salomon Brothers Center for the Study of Financial Institutions, Graduate School of Business Administration, New York University, Working Paper S-93-11.
2. Baldwin, C.Y., 1982, "Optimal Sequential Investment When Capital is Not Readily Reversible," Journal of Finance 37, 763-782.
3. Bansal, R. and C. Lundblad, 2000, "Fundamental Values and Asset Returns in Global Equity Markets," Duke University Manuscript.
4. Banz, R.W., 1981, "The Relationship Between Return and Market Value of Common Stocks," Journal of Financial Economics 9, 3-18.
5. Benninga, S. and O. Sarig, 1997, Corporate Finance: A Valuation Approach, New York, NY, MCGraw-Hill.
6. Berk, J.B., 1999, "A Simple Approach for Deciding When to Invest," American Economic Review 89, 1319-1326.
7. Bierman, H., 1993, "Capital Budgeting in 1992: A Survey," Financial Management 22, 24.
8. Black, F., 1993, "Beta and Return," Journal of Portfolio Management 20, 8-18.
9. Black, F., M.C. Jensen, and M. Scholes, 1972, "The Capital Asset Pricing Model: Some Empirical Tests," in M. Jensen, Ed., Studies in the Theory of Capital Markets, New York, NY, Praeger, 79-121.
10. Blanchard, O.J., 1993, "Movements in the Equity Premium," Brookings Papers on Economic Activity 2, 75-118.
11. Brealey, R.A. and S.C. Myers, 2000, Principles of Corporate Finance, 6th ed., New York, NY, Irwin/MCGraw-Hill.
12. Breen, W.J. and R.A. Korajczyk, 1993, "On Selection Biases in Book-to-Market Based Tests of Asset Pricing Models," Northwestern University Working Paper 167.
13. Brennan, M., 2002, "Corporate Investment Policy," in G. Constantinides, M. Harris, and R. Stulz, Ed., Handbook of the Economics of Finance, Amsterdam, Elsevier Science (Forthcoming).
14. Brigham, E.F., 1975, "Hurdle Rates for Screening Capital Expenditure Proposals," Financial Management 4, 17-26.
15. Brigham, E.F. and M.C. Ehrhardt, 2002, Financial Management: Theory and Practice, 10th ed., Orlando, FL, Harcourt College Publishers.
16. Bruner, R.F., K.M. Eades, R.S. Harris, and R.C. Higgins, 1998, "Best Practices in Estimating the Cost of Capital: Survey and Synthesis," Financial Practice and Education 4, 13-28.
17. Campbell, J.Y., A.W. Lo, and A.C. MacKinlay, 1997, The Econometrics of Financial Markets, Princeton, NJ, Princeton University Press.
18. Claus, J. and J. Thomas, 2000, "Equity Premia as Low as Three Percent? Empirical Evidence From Analysts' Earnings Forecasts for Domestic and International Stock Markets," Graduate School of Business, Columbia University Manuscript.
19. Dimson, E., P. Marsh, and M. Staunton, 2002, Triumph of the Optimists: 101 Years of Global Investment Returns, Princeton, NJ, Princeton University Press.
20. Dixit, A.K., 1992, "Investment and Hysteresis," Journal of Economic Perspectives 6, 107-132.
21. Dixit, A.K. and R.S. Pindyck, 1994, Investment Under Uncertainty, Princeton, NJ, Princeton University Press.
22. Fama, E.F., and K.R. French, 1992, "The Cross-Section of Expected Stock Returns," Journal of Finance 47, 427-465.
23. Fama, E.F. and K.R. French, 2001, "The Equity Premium," Graduate School of Business, University of Chicago Working Paper.
24. Fama, E.F. and J.D. MacBeth, 1973, "Risk, Return and Equilibrium: Empirical Tests," Journal of Political Economy 81, 607-636.
25. Ferguson, T.S., 1989, "Who Solved the Secretary Problem?" Statistical Science 4, 282-296.
26. Freeman, P.R., 1983, "The Secretary Problem and its Extensions: A Review," International Statistical Review 51, 189-206.
27. Fremgen, J.M., 1973, "Capital Budgeting Practices: A Survey," Management Accounting 54, 19-25.
28. Gitman, L.J. and J.R. Forrester, 1977, "A Survey of Capital Budgeting Techniques Used by Major US Firms," Financial Management 6, 66-71.
29. Gitman, L.J. and V.A. Mercurio, 1982, "Cost of Capital Techniques Used by Major US Firms: Survey and Analysis of Fortune's 1000," Financial Management 11, 21-29.
30. Gordon, M.J., 1962, The Investment, Financing, and Valuation of the Corporation, Homewood, IL, Irwin.
31. Graham, J.R. and C.R. Harvey, 2001, "The Theory and Practice of Corporate Finance: Evidence from the Field," Journal of Financial Economics 60, 187-243.
32. Grinblatt, M. and S. Titman, 2002, Financial Markets and Corporate Strategy, 2nd ed., New York, NY, Irwin/MCGraw-Hill.
33. Istvan, D.F., 1961, "The Economic Evaluation of Capital Expenditures," Journal of Business 36, 45-51.
34. Jagannathan, R., E.R. MCGrattan, and A. Scherbina, 2001, "The Declining US Equity Premium," Quarterly Review, Federal Reserve Bank of Minneapolis.
35. Jagannathan, R. and Z. Wang, 1996, "The Conditional CAPM and the Cross-Section of Expected Returns," Journal of Finance 51, 3-53.
36. Jorion, P. and W.N. Goetzmann, 1999, "Global Stock Markets in the Twentieth Century," Journal of Finance 54, 953-980.
37. Klammer, T., 1972, "Empirical Evidence of the Adoption of Sophisticated Capital Budgeting Techniques," Journal of Business 45, 387-397.
38. Kothori, S.P., J. Shanken, and R.G. Sloan, 1995, "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance 50, 185-224.
39. Lintner, J., 1965, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets," Review of Economics and Statistics 47, 13-37.
40. McDonald, R. and D. Siegel, 1986, "The Value of Waiting to Invest," Quarterly Journal of Economics 101, 707-728.
41. McDonald, R.L., 1999, "Real Options and Rules of Thumb in Capital Budgeting," in M.J. Brennan and L. Trigeorgis, Eds., Project Flexibility, Agency, and Product Market Competition, London, Oxford University Press, 13-33.
42. Moore, J.S. and A.K. Reichert, 1983, "An Analysis of the Financial Management Techniques Currently Employed by Large US Corporations," Journal of Business Finance and Accounting 10, 623-645.
43. Petty, J.W. and O.D. Bowlin, 1976, "The Financial Manager and Quantitative Decision Models," Financial Management 5, 32-41.
44. Poterba, J.M. and L.H. Summers, 1995, "A CEO Survey of US Companies' Time Horizons and Hurdle Rates," Sloan Management Review (Autumn), 43-53.
45. Ross, S.A., R.W. Westerfield, and J.F. Jaffe, 2002, Corporate Finance, 6th ed., New York, NY, MCGraw-Hill.
46. Schall, L.D., G.L. Sundem, and W.R. Geijsbeek, 1978, "Survey and Analysis of Capital Budgeting Methods," Journal of Finance 33, 281-287.
47. Sharpe, W.F., 1964, "Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk," Journal of Finance 19, 425-442.
48. Siegel, J.J., 1992, "The Real Rate of Interest from 1800-1990: A Study of the US and the UK," Journal of Monetary Economics 29, 227-252.
49. Siegel, J.J., 1998, Stocks for the Long Run, 2nd ed., New York, NY, MCGraw-Hill.
50. Siegel, J.J., 1999, "The Shrinking Equity Premium: Historical Facts and Future Forecasts," Journal of Portfolio Management 26, 10-17.
51. Singer, E. and S. Presser, 1989, Survey Research Methods, Chicago, IL, University of Chicago Press.
52. Stattman, D., 1980, "Book Values and Stock Returns," The Chicago MBA: A Journal of Selected Papers 4, 25-45.
53. Stein, J.C., 2001, "Agency, Information and Corporate Investment," NBER Working Paper Series, No. 8342.
54. Stulz, R.M., 1999, "What's Wrong with Modern Capital Budgeting?" Financial Practice and Education 9, 7-11.
55. Tanur, J., 1992, Questions About Questions: Inquiries Into the Cognitive Bases of Surveys, New York, NY, Russell Sage Foundation.
56. Trigeorgis, L., 1993, "Real Options and Interactions With Financial Flexibility," Financial Management 22, 202-224.
57. Van Home, J.C., 2002, Financial Management and Policy, 12th ed., Upper Saddle River, NJ, Prentice-Hall.
58. Wadhwani, S.B., 1999, "The US Stock Market and the Global Economic Crisis," National Institute Economic Review, 86-105.
59. Welch, I., 2000, "Views of Financial Economists on the Equity Premium and on Professional Controversies," Journal of Business 73, 501-537.
60. Womack, K.L., 2001, "Core Finance Courses in the Top MBA Programs in 2001," Tuck School of Business at Dartmouth Working Paper No. 01-07.