Purpose – The purpose of this paper is to assess how much difference it makes for US firms to use the two‐factor ICAPM to estimate their cost of equity instead of a single‐factor CAPM. Design/methodology/approach – For a large sample of US companies, the authors compare the empirical...

The authors derive the probability distribution of the net present value of a project under the quite general assumption that the cash flows follow either an autoregressive moving average process or an integrated autoregressive process. Examples are presented which serve to both illustrate the...