allocation. And eventually by proposing a strategy to arbitrage core inflation linked derivatives by cross-replicating them with …

This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing …, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM …-based valuation violates value additivity. As a consequence, the standard use of CAPM for project valuation and decision making should …

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … employing this NPV are open to arbitrage losses and miss arbitrage opportunities. As a result, even though the use of the …

) an example showing that CAPM-minded evaluators may incur arbitrage losses …This paper deals with the CAPM-derived capital budgeting criterion, and in particular with Rubinstein’s (1973 …

This paper shows that a decision maker using the CAPM for valuing firms and making decisions may contradict Modigliani … and Miller’s Proposition I, if he adopts the widely-accepted disequilibrium NPV. As a consequence, CAPM-minded agents … employing this NPV are open to arbitrage losses and miss arbitrage opportunities. As a result, even though the use of the …

capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

capital constrained, noise trader influence is high, and arbitrage investors are more loss averse. We also predict that … arbitrage networks can lead to crowded trades, which can create systematic risk in extreme market circumstances. …

This paper focuses on inconsistencies arising from the use of NPV and CAPM for capital budgeting. It shows that (i …) CAPM capital budgeting decision-making based on disequilibrium NPV is deductively inferred by the Capital Asset Pricing …) the disequilibrium NPV does not guarantee additivity nor consistency with arbitrage pricing, so that it is unreliable for …