资本预算方法问题.PDFVIP

What’s wrong with modern capital budgeting? René M. Stulz Address delivered at the Eastern Finance Association meeting in Miami Beach, April 1999, upon reception of the 1999 Eastern Finance Association Scholar Award. Abstract I argue that the mainstream approach to capital budgeting focuses excessively on the special case where diversifiable risks do not affect the contribution of a project to the value of the firm. This approach ignores the impact of a new project on a firm’s total risk and therefore often leads to an inappropriate assessment of the value of the project. I present arguments for why total risk is often costly and discuss how taking total risk into account in capital budgeting is necessary to make capital budgeting and capital structure decisions consistent. Every MBA knows at the end of her studies how to value a project. She will have been taught that a project increases shareholder wealth if the net present value of that project is positive. To compute that net present value, she has to forecast the cash flows of the project and discount them at a discount rate that reflects the price charged by the capital markets for the risk of the cash flows. In computing the net present value of the project, the MBA student is told repeatedly that the volatility of the project’s cash flows in no way affects its value. Comparing two projects that have the same expected cash flows, the project with more volatile cash flows can be more or less valuable than the project with the less volatile cash flows. Furthermore, the student will be told that it does not matter how the cash flows of the project are correlated with the cash flows of the firm because the firm’s total risk does not affect its value. As a result of these arguments, the discount rate depends only on the project’s risk as measured by the capital markets. Henc