文档介绍：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 present value of that project is positive. To
compute 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.
puting 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. Hence, unless there are synergies
between the project and the existing investments of the firm, the project’s value is the same
irrespective of t