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Project valuation and investment decisions: CAPM versus arbitrage

Magni, Carlo Alberto - Volkswirtschaftliche Fakultät, … - 2007

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...

Persistent link: https://www.econbiz.de/10005260104

Interval and fuzzy Average Internal Rate of Return for investment appraisal

Guerra, Maria Letizia; Magni, Carlo Alberto; Stefanini, … - MASTER CONSULTORES - 2012

In investment appraisal, uncertainty can be managed through intervals or fuzzy numbers because the arithmetical …

Persistent link: https://www.econbiz.de/10010762973

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

Splitting Up Value : A Critical Review of Residual Income Theories

Magni, Carlo Alberto - 2010

This paper deals with the notion of residual income, which may be defined as the surplus profit that residues after a capital charge (opportunity cost) has been covered. While the origins of the notion trace back to the 19th century, in-depth theoretical investigations and widespread real-life...

Persistent link: https://www.econbiz.de/10012758385

Investment Decisions, Net Present Value and Bounded Rationality

Magni, Carlo Alberto - 2010

The Net Present Value maximizing model has a respectable ancestry and is considered by most scholars a theoretically sound decision model. In real-life applications, decision makers use the NPV rule, but apply a subjectively determined hurdle rate, as opposed to the allegedly correct opportunity...

Persistent link: https://www.econbiz.de/10012759659

Project Selection and Equivalent Capm-Based Investment Criteria

Magni, Carlo Alberto - 2009

: They all state that a project is profitable if its internal rate of return is greater than the risk-adjusted cost of … capital, where the latter is given by the sum of the risk-free rate and a risk-premium which is a function of the systematic … risk of the project, itself a functionof the project cost …

Persistent link: https://www.econbiz.de/10012764042

Project Valuation and Investment Decisions : CAPM Versus Arbitrage

Magni, Carlo Alberto - 2009

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...

Persistent link: https://www.econbiz.de/10012764044

Excess-Profit Decomposition : Economic Value Added and Systemic Value Added (Scomposizione di Sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico)

Magni, Carlo Alberto - 2009

The Economic Value Added formally translates the theoretical notion of excess profit (also known as residual income). Its use is so firmly entrenched in applied corporate finance and management accounting that its name is often used as a noun for denoting the concept of excess profit itself....

Persistent link: https://www.econbiz.de/10012766412

IRR, ROE and NPV : Formal and Conceptual Convergences in a Systemic Approach (Tir, Roe e Van: Convergenze Formali e Concettuali in un Approccio Sistemico)

Magni, Carlo Alberto - 2009

In capital budgeting, the internal rate of return (IRR) criterion and the net present value (NPV) criterion are considered incompatible in several cases. A longstanding debate developed in past years about the reliability of either method is still an issue of investigation (see, for example,...

Persistent link: https://www.econbiz.de/10012766558

Systemic Value Added : An Alternative to EVA as a Residual Income Model (Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale)

Magni, Carlo Alberto - 2009

This work presents a notion of residual income called Systemic Value Added (SVA). It is antithetic to Stewart's (1991) EVA, though it is consistent with it in overall terms: a project's Net Final Value (NFV) can be computed as the sum of capitalized EVAs or as the sum of uncapitalized SVAs. As a...

Persistent link: https://www.econbiz.de/10012766567