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- W1786967172 abstract "Our paper tests whether the expected rate-of-return estimates for long-term capital budgeting from the FFM and CAPM could outperform those from a simpler risk-neutral term-structure-based model. Our paper first estimates reasonable shrinkage (input parameters) based on historical data. We find1. Factor exposures drift(ed) significantly over longer horizons2. Since 1970, the arithmetic (geometric) equity premium relative to long- term Treasuries has been only 1.7% (0.8%) per year. This decline was primarily due to higher long-term Treasury yields, not lower average stock returns.Together, this evidence suggest that a user of the FFM and CAPM should drastically shrink the model-input parameters to the point where project cost- of-capital is often no longer meaningfully heterogeneous, i.e., different from that of a risk-neutral pricing model. In addition, the data suggests that3. Textbook application of both the FFM and CAPM failed to predict subse- quent rates of returns given estimated inputs, often even with the wrong sign.This evidence is fundamentally opposite to the recommendations in all major finance textbooks and curriculums in use today." @default.
- W1786967172 created "2016-06-24" @default.
- W1786967172 date "2013-01-01" @default.
- W1786967172 modified "2023-09-24" @default.
- W1786967172 title "The ABC of Long-Term Capital Budgeting" @default.
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- W1786967172 doi "https://doi.org/10.2139/ssrn.2327807" @default.
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