This study is concerned with the presentation of theoretical and empirical methods of evaluating the investment projects. The main part of this study is in the following three areas: First, this paper presents the theory and empirical evidence of the firm``s objectives. Maximization of shareholders`` wealth or the market value of the firm over time is the theoretically appropriate objective for an entrepreneurial-type firm. A careful examination of the empirical evidence shows, however, that most firms appear to have multidimensional goals which are not always consistent with the maximization of shareholders`` wealth. Second, it is shown that the systematic risk is the appropriate measure of project``s risk and that traditional methods and empirical evidences of evaluating the projects seem not to be consistent with it. Third, descriptive model and project classification system based on theories and empirical evidences are proposed for the purpose of evaluating the investment decisions of a firm.