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

1、第13章 公司融資決策和有效資本市場(chǎng)13.1 融資決策能添加價(jià)值嗎13.2 有效資本市場(chǎng)的描畫13.3 有效資本市場(chǎng)的類型13.4 實(shí)證研討的證據(jù)13.5 資本市場(chǎng)效率實(shí)際對(duì)公司理財(cái)?shù)暮x13.6 小結(jié).13.1 融資決策能添加價(jià)值嗎Can Financing Decisions Create Value?前面的幾章論述了如何根據(jù)凈現(xiàn)值原那么評(píng)價(jià)投資工程資產(chǎn)負(fù)債表的左方。Earlier parts of the book show how to evaluate investment projects according the NPV criterion.下面幾章討論融資決策資產(chǎn)負(fù)債表的右方

2、The next five chapters concern financing decisions.What Sort of Financing Decisions?典型的融資決策包括 Typical financing decisions include:出賣債務(wù)和股權(quán)的價(jià)值 How much debt and equity to sell何時(shí)能否發(fā)放股利 When (or if) to pay dividends何時(shí)出賣債務(wù)和股權(quán) When to sell debt and equity正如在資本預(yù)算中運(yùn)用凈現(xiàn)值準(zhǔn)那么評(píng)價(jià)投資工程，我們運(yùn)用NPV來評(píng)價(jià)融資決策。Just as we ca

3、n use NPV criteria to evaluate investment decisions, we can use NPV to evaluate financing decisions.如何經(jīng)過融資發(fā)明價(jià)值How to Create Value through Financing1. 愚弄投資者 Fool Investors如經(jīng)過發(fā)行認(rèn)股權(quán)證等復(fù)雜證券進(jìn)展融資，誘導(dǎo)投資者對(duì)于復(fù)雜證券過于樂觀，從而使公司獲得的價(jià)值超越其真實(shí)價(jià)值。實(shí)證研討以為不斷愚弄消費(fèi)者是困難的。Empirical evidence suggests that it is hard to fool investo

4、rs consistently.13.2 有效資本市場(chǎng)的描畫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)錢可以充分反映一切有關(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.Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-1

5、0 0+10+20+30Days before (-) and after (+) announcementEfficient market response to “good newsOverreaction to “good news with reversionDelayed response to “good news.Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after

6、 (+) announcementEfficient market response to “bad newsOverreaction to “bad news with reversionDelayed response to “bad news.13.3 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

7、reflect all publicly available information.強(qiáng)型有效市場(chǎng) Strong FormSecurity prices reflect all informationpublic and private.13.3.1 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

8、is of no value.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.為什么技術(shù)分析失效Why Technical Analysis FailsStock PriceTimeInvestor

9、 behavior 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.SellSellBuyBuy.13.3.2 半強(qiáng)型有效市場(chǎng)Semi-Strong Form Market

10、 EfficiencySecurity Prices reflect all publicly available information.Publicly available information includes:Historical price and volume informationPublished accounting statements. Information found in annual reports.13.3.3 強(qiáng)型有效市場(chǎng)Strong Form Market EfficiencySecurity Prices reflect all informationp

11、ublic 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.Relationship among Three Different Information SetsAll in

12、formationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast prices.13.3.4 對(duì)有效市場(chǎng)假說的一些誤解Some Common MisconceptionsMuch of the criticism of the EMH has been based on a misunderstanding of the hypothesis says and does not say.What the EMH Does and Does NOT SayInvesto

13、rs 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 information,

14、which by definition arrives randomly. Therefore, financial managers cannot “time stock and bond sales.13.4 實(shí)證研討的證據(jù)The Evidence有效市場(chǎng)假設(shè)的研討記錄相當(dāng)廣泛，而且大量的計(jì)量研討結(jié)果都支持市場(chǎng)效率實(shí)際。The record on the EMH is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.實(shí)證研討分為三類 Studies fall

15、 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?事件研討： 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.Are Changes in Stock Prices Random?Ca

16、n we really tell?心思學(xué)家和統(tǒng)計(jì)學(xué)家以為，大多數(shù)人面臨純隨機(jī)動(dòng)搖時(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)錢數(shù)據(jù)具有某種規(guī)律的人們能夠是由于眼力錯(cuò)覺引起的。People claiming to see patterns in stock price movements are probably seeing optical illusions. .W

17、hat 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.Event Studies: How Tests Are StructuredEvent Studies are one type of test of the semi-

18、strong form of market efficiency.半強(qiáng)型有效市場(chǎng)假說的含義是價(jià)錢充分反映一切公開可用的信息。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 evidence of under reac

19、tion, overreaction, early reaction, delayed reaction around the event.Event Studies: Dividend Omissions事件研討：取消股利Efficient market response to “bad newsS.H. Szewczyk, G.P. Tsetsekos, and Z. Santout “Do Dividend Omissions Signal Future Earnings or Past Earnings? Journal of Investing (Spring 1997).Event

20、 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-from efficient.In fact, t

21、he studies suggest that markets may even have some foresight into the futurein other words, news tends to leak out走漏 in advance of public announcements.The Record of Mutual FundsIf the market is semistrong-form efficient, then no matter what publicly available information mutual-fund managers rely o

22、n 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.The Record of Mutual FundsTaken from Lubos Pastor and

23、 Robert F. Stambaugh, “Evaluating and Investing in Equity Mutual Funds, unpublished paper, Graduate School of Business, University of Chicago (March 2000).The Strong Form of the EMHOne group of studies of strong-form market efficiency investigates insider trading內(nèi)幕買賣.A number of studies support the

24、view that insider trading is abnormally profitable.Thus, strong-form efficiency does not seem to be substantiated證明 by the evidence.Views Contrary to Market Efficiency1987年股災(zāi) Stock Market Crash of 1987The market dropped between 20 percent and 25 percent on a Monday following a weekend during which l

25、ittle 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. .13.5 對(duì)公司理財(cái)?shù)暮xImplications for Corporate FinanceBecause 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 s