corporate investment policy

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1、Chapter3CORPORATEINVESTMENTPOLICYMICHAELJ.BRENNAN°UniversityofCalifornia,LosAngeles;LondonBusinessSchoolContentsAbstract168Keywords1681.Introduction1692.Theobjectiveofthefirmandthenet-present-valuerule1713.Valuationbydiscounting1753.1.Multi-factorassetp

2、ricingmodels1783.2.Thecapitalassetpricingmodel1794.Practicalapproachestoestimatingdiscountrates1804.1.Estimatingequitydiscountratesinpractice1804.1.1.Usingasset-pricingmodels1814.1.1.1.Theequityriskpremium1834.1.2.DCFestimatesofthecostofequitycapital18

3、54.1.3.Summary1874.2.Fromfirmcostofequitytofirmcostofcapital1884.3.PerformanceofCAPM-basedvaluations1914.4.Fromfirmcostofcapitaltoprojectcostofcapital1925.Thecertaintyequivalentapproachtovaluation1945.1.Thebasictheoryofmartingalepricing1965.2.Estimatingri

4、sk-adjusteddrifts1975.2.1.Thestatevariableisthepriceofatradedasset1975.2.2.Thestatevariableisnotthepriceofatradedasset1985.2.3.Stochasticriskpremiaandinterestrates2005.3.Somerealoptions2035.3.1.Gamesagainstnature2035.3.2.Multi-persongames2055.3.2.1.The

5、purelycompetitivecase206°GoldyneandIrwinHearshProfessorofBankingandFinance,UniversityofCalifornia,LosAngeles,andProfessorofFinance,LondonBusinessSchool.IamgratefultoJohnCochrane,GeorgeConstantinides,AvinashDixit,MiltHarris,PedroSantaClaraandEduardoSchw

6、artzforcommentsandsuggestions.HandbookoftheEconomicsofFinance,EditedbyG.M.Constantinides,M.HarrisandR.Stulz©2003ElsevierB.V.Allrightsreserved168M.J.Brennan5.3.2.2.Theoligopolisticcase2076.Summary208References209AbstractThischapterisconcernedwiththeclas

7、sicalappliedproblemofcapitalallocationbyacorporationwhosesecuritiesaretradedincompetitiveandfrictionlessmarkets.Underreasonableassumptionsthatarediscussed,thisamountstochoosingprojectswhosemarketvalueexceedstheircost,sothattheproblembecomesoneofvaluing

8、uncertainfuturecashflows.Valuationbydiscountingatarisk-adjusteddiscountrateisshowntobeadmissibleundercertainassumptions,andthepracticalproblemsofestimatingriskpremiaarediscussed.Moregeneralvaluationapproachesareintroducedundertherubricof