dc.contributor.author
Laitenberger, Jörg
dc.contributor.author
Löffler, Andreas
dc.date.accessioned
2018-06-08T10:26:03Z
dc.date.available
2017-06-01T11:39:01.137Z
dc.identifier.uri
https://refubium.fu-berlin.de/handle/fub188/20433
dc.identifier.uri
http://dx.doi.org/10.17169/refubium-23736
dc.description.abstract
In capital budgeting problems future cash flows are discounted using the
expected one-period returns of the investment. In this paper we relate this
approach to the assumption that markets are free of arbitrage. Our goal is to
uncover implicit assumptions on the set of cash flow distributions that are
suitable for the capital budgeting method. Our results are twofold. First we
obtain that for deterministic cost of capital the set of admissible cash flow
distributions is large in the sense that no particular structure of the
evolution of the distributions is implied. We give stylized examples that
demonstrate that even strong assumptions on the return distributions do not
restrain the shape of the cash flow distributions. This shows that Fama’s
assertion that the distributions of one-period single returns become more and
more skewed cannot be generalized to multiperiod budgeting problems. Secondly,
in a subsequent analysis we characterize the cash flow distributions under the
additional assumption of a deterministic dividend yield. In this case a linear
relationship between returns and cash flows obtains.
en
dc.format.extent
6 Seiten
dc.rights.uri
http://www.fu-berlin.de/sites/refubium/rechtliches/Nutzungsbedingungen
dc.subject
Cost of capital
dc.subject
Capital budgeting
dc.subject.ddc
300 Sozialwissenschaften::330 Wirtschaft
dc.subject.ddc
600 Technik, Medizin, angewandte Wissenschaften::650 Management, Öffentlichkeitsarbeit
dc.title
The structure of the distributions of cash flows and discount rates in
multiperiod valuation problems
dc.type
Wissenschaftlicher Artikel
dcterms.bibliographicCitation
OR Spectrum. - 28 (2006), 2, S. 289-299
dcterms.bibliographicCitation.doi
10.1007/s00291-005-0001-8
dcterms.bibliographicCitation.url
http://dx.doi.org/10.1007/s00291-005-0001-8
refubium.affiliation
Wirtschaftswissenschaft
de
refubium.affiliation.other
Betriebswirtschaftslehre / Department Finance, Accounting and Taxation (FACTS)
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refubium.mycore.fudocsId
FUDOCS_document_000000027117
refubium.note.author
Manuskriptversion (Post-Print)
refubium.resourceType.isindependentpub
no
refubium.mycore.derivateId
FUDOCS_derivate_000000008276
dcterms.accessRights.openaire
open access
dcterms.isPartOf.issn
0171-6468