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

第13章公司融資決策和有效資本市場(chǎng)13.1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(lèi)型13.4實(shí)證研究的證據(jù)13.5資本市場(chǎng)效率理論對(duì)公司理財(cái)?shù)暮x13.6小結(jié)1CorporateFinance第13章公司融資決策和有效資本市場(chǎng)13.1融資決策13.1

融資決策能增加價(jià)值嗎

CanFinancingDecisionsCreateValue?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）。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面幾章探討融資決策（資產(chǎn)負(fù)債表的右方）Thenextfivechaptersconcernfinancingdecisions.2CorporateFinance13.1融資決策能增加價(jià)值嗎

CanFinancingWhatSortofFinancingDecisions?典型的融資決策包括

Typicalfinancingdecisionsinclude:出售債務(wù)和股權(quán)的價(jià)值

Howmuchdebtandequitytosell何時(shí)（是否）發(fā)放股利

When(orif)topaydividends何時(shí)出售債務(wù)和股權(quán)

Whentoselldebtandequity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。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.3CorporateFinanceWhatSortofFinancingDecisio如何通過(guò)融資創(chuàng)造價(jià)值

HowtoCreateValuethroughFinancing1.愚弄投資者FoolInvestors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(guān)，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。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.4CorporateFinance如何通過(guò)融資創(chuàng)造價(jià)值

HowtoCreateValue5CorporateFinance5CorporateFinance6CorporateFinance6CorporateFinance13.2有效資本市場(chǎng)的描述

ADescriptionofEfficientCapitalMarkets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)。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.7CorporateFinance13.2有效資本市場(chǎng)的描述

ADescriptiono8CorporateFinance8CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews”O(jiān)verreactionto“goodnews”withreversionDelayedresponseto“goodnews”9CorporateFinanceReactionofStockPricetoNewReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews”O(jiān)verreactionto“badnews”withreversionDelayedresponseto“badnews”10CorporateFinanceReactionofStockPricetoNew13.3有效資本市場(chǎng)的類(lèi)型

TheDifferentTypesofEfficiency弱型有效市場(chǎng)WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半強(qiáng)型有效市場(chǎng)Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.強(qiáng)型有效市場(chǎng)StrongFormSecuritypricesreflectallinformation—publicandprivate.11CorporateFinance13.3有效資本市場(chǎng)的類(lèi)型

TheDifferentT13.3.1弱型有效市場(chǎng)

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedas

Pt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.12CorporateFinance13.3.1弱型有效市場(chǎng)

WeakFormMarket為什么技術(shù)分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy13CorporateFinance為什么技術(shù)分析失效

WhyTechnicalAnalys13.3.2半強(qiáng)型有效市場(chǎng)

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.14CorporateFinance13.3.2半強(qiáng)型有效市場(chǎng)

Semi-StrongFor13.3.3強(qiáng)型有效市場(chǎng)

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent（相關(guān)的）tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.15CorporateFinance13.3.3強(qiáng)型有效市場(chǎng)

StrongFormMarkRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices16CorporateFinanceRelationshipamongThreeDiffe13.3.4對(duì)有效市場(chǎng)假說(shuō)的一些誤解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.17CorporateFinance13.3.4對(duì)有效市場(chǎng)假說(shuō)的一些誤解

SomeCommoWhattheEMHDoesand

DoesNOTSayInvestorscanthrowdarts(飛鏢)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion（厭惡）andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.18CorporateFinanceWhattheEMHDoesandDoesNOT13.4實(shí)證研究的證據(jù)

TheEvidence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。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.實(shí)證研究分為三類(lèi)

Studiesfallintothreebroadcategories:股價(jià)變動(dòng)是隨機(jī)的嗎？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules”?事件研究：

Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?專(zhuān)業(yè)投資公司的記錄Therecordofprofessionallymanagedinvestmentfirms.19CorporateFinance13.4實(shí)證研究的證據(jù)

TheEvidence有效市場(chǎng)假AreChangesinStockPricesRandom?Canwereallytell?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

Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatterns

evenwhenfacedwithpurerandomness.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。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.

20CorporateFinanceAreChangesinStockPricesRa21CorporateFinance21CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.22CorporateFinanceWhatPatternDoYouSee?DoubleEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.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。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.23CorporateFinanceEventStudies:HowTestsAreSEventStudies:DividendOmissions

（事件研究：取消股利）Efficientmarketresponseto“badnews”S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?”JournalofInvesting(Spring1997)24CorporateFinanceEventStudies:DividendOmissiEventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefuture—inotherwords,newstendstoleakout（泄漏）inadvanceofpublicannouncements.25CorporateFinanceEventStudyResultsOvertheyeTheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.26CorporateFinanceTheRecordofMutualFundsIftTheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,”unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).27CorporateFinanceTheRecordofMutualFundsTakeTheStrongFormoftheEMHOnegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading（內(nèi)幕交易）.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated（證實(shí)）

bytheevidence.28CorporateFinanceTheStrongFormoftheEMHOneViewsContrarytoMarketEfficiency1987年股災(zāi)StockMarketCrashof1987Themarketdroppedbetween20percentand25percentonaMondayfollowingaweekendduringwhichlittlesurprisinginformationwasreleased.時(shí)間異象TemporalAnomalies比如一月份的股票平均收益高于其他月份。Turnoftheyear,—month,—week.投機(jī)泡沫

SpeculativeBubblesSometimesacrowdofinvestorscanbehaveasasinglesquirrel（松鼠）.29CorporateFinanceViewsContrarytoMarketEffic13.5對(duì)公司理財(cái)?shù)暮x

ImplicationsforCorporateFinanceBecauseinformationisreflectedinsecuritypricesquickly,investorsshouldonlyexpecttoobtainanormalrateofreturn.Awareness（知道）ofinformationwhenitisreleaseddoesaninvestorlittlegood.Thepriceadjustsbeforetheinvestorhastimetoactonit.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Fairmeansthatthepricetheyreceiveforthesecuritiestheyissueisthepresentvalue.Thus,valuablefinancingopportunitiesthatarisefromfoolinginvestorsareunavailable（難以獲得的）

inefficientmarkets.30CorporateFinance13.5對(duì)公司理財(cái)?shù)暮x

Implicationsfor31CorporateFinance31CorporateFinanceWhyDoesn’tEverybodyBelievetheEMH?在圖表上，股票收益存在錯(cuò)覺(jué)、幻想或明顯的趨勢(shì)

Thereareopticalillusions,mirages,andapparentpatternsinchartsofstockmarketreturns.理論并不令人感興趣

Thetruthislessinteresting.存在相反的證據(jù)

Thereissomeevidenceagainstmarketefficiency:季節(jié)效應(yīng)

Seasonality規(guī)模效應(yīng)

SmallversusLargestocks價(jià)值股與成長(zhǎng)股

Valueversusgrowthstocks市場(chǎng)效率的檢驗(yàn)比較薄弱

Thetestsofmarketefficiencyareweak.32CorporateFinanceWhyDoesn’tEverybodyBelieve13.6小結(jié)SummaryandConclusions1.一個(gè)有效的資本市場(chǎng)為投資者提供信息，并使得證券的價(jià)格充分地反映這些信息。資本市場(chǎng)效率有兩個(gè)基本含義：第一，在任何時(shí)候，股票的超常收益都取決于市場(chǎng)在當(dāng)時(shí)所收到的信息。第二，任何投資者，如果使用與市場(chǎng)相同的信息，都不可能獲得超常收益。2.市場(chǎng)使用什么信息來(lái)決定價(jià)格呢？弱型效率假設(shè)是指市場(chǎng)使用了股票過(guò)去的歷史價(jià)格信息，因此，市場(chǎng)就使用過(guò)去價(jià)格信息而言達(dá)到有效狀態(tài)。這意味著根據(jù)股票價(jià)格歷史變動(dòng)規(guī)律來(lái)選擇股票不會(huì)比隨機(jī)選擇股票更好。33CorporateFinance13.6小結(jié)SummaryandConclusion34CorporateFinance34CorporateFinance35CorporateFinance35CorporateFinance36CorporateFinance36CorporateFinance37CorporateFinance37CorporateFinance38CorporateFinance38CorporateFinance39CorporateFinance39CorporateFinance40CorporateFinance40CorporateFinance第13章公司融資決策和有效資本市場(chǎng)13.1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(lèi)型13.4實(shí)證研究的證據(jù)13.5資本市場(chǎng)效率理論對(duì)公司理財(cái)?shù)暮x13.6小結(jié)41CorporateFinance第13章公司融資決策和有效資本市場(chǎng)13.1融資決策13.1

融資決策能增加價(jià)值嗎

CanFinancingDecisionsCreateValue?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）。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面幾章探討融資決策（資產(chǎn)負(fù)債表的右方）Thenextfivechaptersconcernfinancingdecisions.42CorporateFinance13.1融資決策能增加價(jià)值嗎

CanFinancingWhatSortofFinancingDecisions?典型的融資決策包括

Typicalfinancingdecisionsinclude:出售債務(wù)和股權(quán)的價(jià)值

Howmuchdebtandequitytosell何時(shí)（是否）發(fā)放股利

When(orif)topaydividends何時(shí)出售債務(wù)和股權(quán)

Whentoselldebtandequity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。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.43CorporateFinanceWhatSortofFinancingDecisio如何通過(guò)融資創(chuàng)造價(jià)值

HowtoCreateValuethroughFinancing1.愚弄投資者FoolInvestors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(guān)，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。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.44CorporateFinance如何通過(guò)融資創(chuàng)造價(jià)值

HowtoCreateValue45CorporateFinance5CorporateFinance46CorporateFinance6CorporateFinance13.2有效資本市場(chǎng)的描述

ADescriptionofEfficientCapitalMarkets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)。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.47CorporateFinance13.2有效資本市場(chǎng)的描述

ADescriptiono48CorporateFinance8CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews”O(jiān)verreactionto“goodnews”withreversionDelayedresponseto“goodnews”49CorporateFinanceReactionofStockPricetoNewReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews”O(jiān)verreactionto“badnews”withreversionDelayedresponseto“badnews”50CorporateFinanceReactionofStockPricetoNew13.3有效資本市場(chǎng)的類(lèi)型

TheDifferentTypesofEfficiency弱型有效市場(chǎng)WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半強(qiáng)型有效市場(chǎng)Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.強(qiáng)型有效市場(chǎng)StrongFormSecuritypricesreflectallinformation—publicandprivate.51CorporateFinance13.3有效資本市場(chǎng)的類(lèi)型

TheDifferentT13.3.1弱型有效市場(chǎng)

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedas

Pt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.52CorporateFinance13.3.1弱型有效市場(chǎng)

WeakFormMarket為什么技術(shù)分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy53CorporateFinance為什么技術(shù)分析失效

WhyTechnicalAnalys13.3.2半強(qiáng)型有效市場(chǎng)

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.54CorporateFinance13.3.2半強(qiáng)型有效市場(chǎng)

Semi-StrongFor13.3.3強(qiáng)型有效市場(chǎng)

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent（相關(guān)的）tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.55CorporateFinance13.3.3強(qiáng)型有效市場(chǎng)

StrongFormMarkRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices56CorporateFinanceRelationshipamongThreeDiffe13.3.4對(duì)有效市場(chǎng)假說(shuō)的一些誤解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.57CorporateFinance13.3.4對(duì)有效市場(chǎng)假說(shuō)的一些誤解

SomeCommoWhattheEMHDoesand

DoesNOTSayInvestorscanthrowdarts(飛鏢)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion（厭惡）andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.58CorporateFinanceWhattheEMHDoesandDoesNOT13.4實(shí)證研究的證據(jù)

TheEvidence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。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.實(shí)證研究分為三類(lèi)

Studiesfallintothreebroadcategories:股價(jià)變動(dòng)是隨機(jī)的嗎？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules”?事件研究：

Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?專(zhuān)業(yè)投資公司的記錄Therecordofprofessionallymanagedinvestmentfirms.59CorporateFinance13.4實(shí)證研究的證據(jù)

TheEvidence有效市場(chǎng)假AreChangesinStockPricesRandom?Canwereallytell?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

Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatterns

evenwhenfacedwithpurerandomness.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。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.

60CorporateFinanceAreChangesinStockPricesRa61CorporateFinance21CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.62CorporateFinanceWhatPatternDoYouSee?DoubleEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.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。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.63CorporateFinanceEventStudies:HowTestsAreSEventStudies:DividendOmissions

（事件研究：取消股利）Efficientmarketresponseto“badnews”S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?”JournalofInvesting(Spring1997)64CorporateFinanceEventStudies:DividendOmissiEventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefuture—inotherwords,newstendstoleakout（泄漏）inadvanceofpublicannouncements.65CorporateFinanceEventStudyResultsOvertheyeTheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.66CorporateFinanceTheRecordofMutualFundsIftTheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,”unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).67CorporateFinanceTheRecordofMutualFundsTakeTheStrongFormoftheEMHOnegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading（內(nèi)幕交易）.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated（證實(shí)）

bytheevidence.68CorporateFinanceTheStrongFormoftheEMHOneViewsContr