公司理財(cái)13公司融資決策和有效資本市場(chǎng)市場(chǎng)

1、第1313.1 融資決策能增加價(jià)值嗎13.2 有效資本市場(chǎng)的描述13.3 有效資本市場(chǎng)的類型13.4 實(shí)證研究的證據(jù)13.5 13.6 小結(jié)113.1 融資決策能增加價(jià)值嗎Can Financing Decisions Create Value?前面的幾章闡述了如何根據(jù)凈現(xiàn)值原則評(píng)價(jià)投資項(xiàng)目（資產(chǎn)負(fù)債表的左方）。Earlier parts of the book show how to evaluate investment projects according the NPV criterion.下面幾章探討融資決策（資產(chǎn)負(fù)債表的右方）The next five chapters conce

2、rn financing decisions.2What Sort of Financing Decisions?典型的融資決策包括 Typical financing decisions include:出售債務(wù)和股權(quán)的價(jià)值 How much debt and equity to sell何時(shí)（是否）發(fā)放股利 When (or if) to pay dividends何時(shí)出售債務(wù)和股權(quán) When to sell debt and equity正如在資本預(yù)算中使用凈現(xiàn)值準(zhǔn)則評(píng)價(jià)投資項(xiàng)目，我們使用NPV來(lái)評(píng)價(jià)融資決策。Just as we can use NPV criteria to eval

3、uate investment decisions, we can use NPV to evaluate financing decisions.3如何通過(guò)融資創(chuàng)造價(jià)值How to Create Value through Financing1. 愚弄投資者 Fool Investors如通過(guò)發(fā)行認(rèn)股權(quán)證等復(fù)雜證券進(jìn)行融資，誘導(dǎo)投資者對(duì)于復(fù)雜證券過(guò)于樂(lè)觀，從而使公司獲得的價(jià)值超過(guò)其真實(shí)價(jià)值。實(shí)證研究認(rèn)為一直愚弄消費(fèi)者是艱難的。Empirical evidence suggests that it is hard to fool investors consistently.45613.2 有

4、效資本市場(chǎng)的描述A Description of Efficient Capital Markets有效資本市場(chǎng)是指資產(chǎn)的現(xiàn)有市場(chǎng)價(jià)格能夠充分反映所有有關(guān)可用信息的資本市場(chǎng)。An efficient capital market is one in which stock prices fully reflect available information.78Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days bef

5、ore (-) and after (+) announcementEfficient market response to “good news”O(jiān)verreaction to “good news” with reversionDelayed response to “good news”9Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcement

6、Efficient market response to “bad news”O(jiān)verreaction to “bad news” with reversionDelayed response to “bad news”1013.3 有效資本市場(chǎng)的類型The Different Types of Efficiency弱型有效市場(chǎng) Weak FormSecurity prices reflect all information found in past prices and volume.半強(qiáng)型有效市場(chǎng) Semi-Strong FormSecurity prices reflect all p

7、ublicly available information.強(qiáng)型有效市場(chǎng) Strong FormSecurity prices reflect all informationpublic and private.1113.3.1 弱型有效市場(chǎng)Weak Form Market EfficiencySecurity prices reflect all information found in past prices and volume.If the weak form of market efficiency holds, then technical analysis is of no va

8、lue.Often weak-form efficiency is represented as Pt = Pt-1 + Expected return + random error tSince stock prices only respond to new information, which by definition arrives randomly, stock prices are said to follow a random walk.12為什么技術(shù)分析失效Why Technical Analysis FailsStock PriceTimeInvestor behavior

9、 tends to eliminate any profit opportunity associated with stock price patterns.If it were possible to make big money simply by finding “the pattern” in the stock price movements, everyone would do it and the profits would be competed away.SellSellBuyBuy1313.3.2 半強(qiáng)型有效市場(chǎng)Semi-Strong Form Market Effici

10、encySecurity Prices reflect all publicly available information.Publicly available information includes:Historical price and volume informationPublished accounting statements. Information found in annual reports.1413.3.3 強(qiáng)型有效市場(chǎng)Strong Form Market EfficiencySecurity Prices reflect all informationpublic

11、 and private.Strong form efficiency incorporates weak and semi-strong form efficiency.Strong form efficiency says that anything pertinent（相關(guān)的） to the stock and known to at least one investor is already incorporated into the securitys price.15Relationship among Three Different Information SetsAll inf

12、ormationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast prices1613.3.4 對(duì)有效市場(chǎng)假說(shuō)的一些誤解Some Common MisconceptionsMuch of the criticism of the EMH has been based on a misunderstanding of the hypothesis says and does not say.17What the EMH Does and Does NOT SayInves

13、tors can throw darts(飛鏢) to select stocks.This is almost, but not quite, true.An investor must still decide how risky a portfolio he wants based on risk aversion（厭惡） and the level of expected return.Prices are random or uncaused.Prices reflect information. The price CHANGE is driven by new informati

14、on, which by definition arrives randomly. Therefore, financial managers cannot “time” stock and bond sales.1813.4 實(shí)證研究的證據(jù)The Evidence有效市場(chǎng)假設(shè)的研究記錄相當(dāng)廣泛，而且大量的計(jì)量研究結(jié)果都支持市場(chǎng)效率理論。The record on the EMH is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.實(shí)證研究分為三類 Studi

15、es fall into three broad categories:股價(jià)變動(dòng)是隨機(jī)的嗎？Are changes in stock prices random? Are there profitable “trading rules”?事件研究： Event studies : does the market quickly and accurately respond to new information?專業(yè)投資公司的記錄 The record of professionally managed investment firms.19Are Changes in Stock Prices

16、 Random?Can we really tell?心理學(xué)家和統(tǒng)計(jì)學(xué)家認(rèn)為，大多數(shù)人面臨純隨機(jī)波動(dòng)時(shí)相想找出圖形規(guī)律 Many psychologists and statisticians believe that most people want to see patterns even when faced with pure randomness.強(qiáng)調(diào)看出股票價(jià)格數(shù)據(jù)具有某種規(guī)律的人們可能是由于眼力錯(cuò)覺(jué)引起的。People claiming to see patterns in stock price movements are probably seeing optical ill

17、usions. 2021What Pattern Do You See?Double-click on this Excel chart to see a different random series. With different patterns, you may believe that you can predict the next value in the serieseven though you know it is random.22Event Studies: How Tests Are StructuredEvent Studies are one type of te

18、st of the semi-strong form of market efficiency.半強(qiáng)型有效市場(chǎng)假說(shuō)的含義是價(jià)格充分反映所有公開(kāi)可用的信息。This form of the EMH implies that prices should reflect all publicly available information. To test this, event studies examine prices and returns over timeparticularly around the arrival of new information.Test for evidenc

19、e of under reaction, overreaction, early reaction, delayed reaction around the event.23Event Studies: Dividend Omissions（事件研究：取消股利）Efficient market response to “bad news”S.H. Szewczyk, G.P. Tsetsekos, and Z. Santout “Do Dividend Omissions Signal Future Earnings or Past Earnings?” Journal of Investin

20、g (Spring 1997)24Event Study ResultsOver the years, event study methodology has been applied to a large number of events including:Dividend increases and decreasesEarnings announcementsMergers Capital SpendingNew Issues of StockThe studies generally support the view that the market is semistrong-fro

21、m efficient.In fact, the studies suggest that markets may even have some foresight into the futurein other words, news tends to leak out（泄漏） in advance of public announcements.25The Record of Mutual FundsIf the market is semistrong-form efficient, then no matter what publicly available information m

22、utual-fund managers rely on to pick stocks, their average returns should be the same as those of the average investor in the market as a whole.We can test efficiency by comparing the performance of professionally managed mutual funds with the performance of a market index.26The Record of Mutual Fund

23、sTaken from Lubos Pastor and Robert F. Stambaugh, “Evaluating and Investing in Equity Mutual Funds,” unpublished paper, Graduate School of Business, University of Chicago (March 2000).27The Strong Form of the EMHOne group of studies of strong-form market efficiency investigates insider trading（內(nèi)幕交易）

24、.A number of studies support the view that insider trading is abnormally profitable.Thus, strong-form efficiency does not seem to be substantiated（證實(shí)） by the evidence.28Views Contrary to Market Efficiency1987年股災(zāi) Stock Market Crash of 1987The market dropped between 20 percent and 25 percent on a Mond

25、ay following a weekend during which little surprising information was released.時(shí)間異象 Temporal Anomalies比如一月份的股票平均收益高于其他月份。Turn of the year, month, week.投機(jī)泡沫 Speculative BubblesSometimes a crowd of investors can behave as a single squirrel（松鼠）. 2913.5 對(duì)公司理財(cái)?shù)暮xImplications for Corporate FinanceBecause

26、information is reflected in security prices quickly, investors should only expect to obtain a normal rate of return.Awareness（知道） of information when it is released does an investor little good. The price adjusts before the investor has time to act on it.Firms should expect to receive the fair value for securities that t