13.1

融資決策能增加價值嗎

CanFinancingDecisionsCreateValue?前面的幾章闡述了如何根據凈現值原則評價投資項目（資產負債表的左方）。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面幾章探討融資決策（資產負債表的右方）Thenextfivechaptersconcernfinancingdecisions.1CorporateFinanceWhatSortofFinancingDecisions?典型的融資決策包括

Typicalfinancingdecisionsinclude:出售債務和股權的價值

Howmuchdebtandequitytosell何時（是否）發放股利

When(orif)topaydividends何時出售債務和股權

Whentoselldebtandequity正如在資本預算中使用凈現值準則評價投資項目，我們使用NPV來評價融資決策。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.2CorporateFinance如何通過融資創造價值

HowtoCreateValuethroughFinancing1.愚弄投資者FoolInvestors如通過發行認股權證等復雜證券進行融資，誘導投資者對于復雜證券過于樂觀，從而使公司獲得的價值超過其真實價值。實證研究認為一直愚弄消費者是艱難的。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.3CorporateFinance4CorporateFinance5CorporateFinance13.2有效資本市場的描述

ADescriptionofEfficientCapitalMarkets有效資本市場是指資產的現有市場價格能夠充分反映所有有關可用信息的資本市場。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.6CorporateFinance7CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews”Overreactionto“goodnews”withreversionDelayedresponseto“goodnews”8CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews”Overreactionto“badnews”withreversionDelayedresponseto“badnews”9CorporateFinance13.3有效資本市場的類型

TheDifferentTypesofEfficiency弱型有效市場WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半強型有效市場Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.強型有效市場StrongFormSecuritypricesreflectallinformation—publicandprivate.10CorporateFinance13.3.1弱型有效市場

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedas

Pt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.11CorporateFinance為什么技術分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy12CorporateFinance13.3.2半強型有效市場

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.13CorporateFinance13.3.3強型有效市場

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent（相關的）tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.14CorporateFinanceRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices15CorporateFinance13.3.4對有效市場假說的一些誤解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.16CorporateFinanceWhattheEMHDoesand

DoesNOTSayInvestorscanthrowdarts(飛鏢)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion（厭惡）andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.17CorporateFinance13.4實證研究的證據

TheEvidence有效市場假設的研究記錄相當廣泛，而且大量的計量研究結果都支持市場效率理論。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.實證研究分為三類

Studiesfallintothreebroadcategories:股價變動是隨機的嗎？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules”?事件研究：

Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?專業投資公司的記錄Therecordofprofessionallymanagedinvestmentfirms.18CorporateFinanceAreChangesinStockPricesRandom?Canwereallytell?心理學家和統計學家認為，大多數人面臨純隨機波動時相想找出圖形規律

Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatterns

evenwhenfacedwithpurerandomness.強調看出股票價格數據具有某種規律的人們可能是由于眼力錯覺引起的。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.

19CorporateFinance20CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.21CorporateFinanceEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.半強型有效市場假說的含義是價格充分反映所有公開可用的信息。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.22CorporateFinanceEventStudies:DividendOmissions

（事件研究：取消股利）Efficientmarketresponseto“badnews”S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?”JournalofInvesting(Spring2019)23CorporateFinanceEventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefuture—inotherwords,newstendstoleakout（泄漏）inadvanceofpublicannouncements.24CorporateFinanceTheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.25CorporateFinanceTheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,”unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).26CorporateFinanceTheStrongFormoftheEMHOnegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading（內幕交易）.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated（證實）

bytheevidence.27CorporateFinanceViewsContrarytoMarketEfficiency1987年股災StockMarketCrashof1987Themarketdroppedbetween20percentand25percentonaMondayfollowingaweekendduringwhichlittlesurprisinginformationwasreleased.時間異象TemporalAnomalies比如一月份的股票平均收益高于其他月份。Turnoftheyear,—month,—week.投機泡沫

SpeculativeBubblesSometimesacrowdofinvestorscanbehaveasasinglesquirrel（松鼠）.28CorporateFinance13.5對公司理財的含義

ImplicationsforCorporateFinanceBecauseinformationisreflectedinsecuritypricesquickly,investorsshouldonlyexpecttoobtainanormalrateofreturn.Awareness（知道）ofinformationwhenitisreleaseddoesaninvestorlittlegood.Thepriceadjustsbeforetheinvestorhastimetoactonit.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Fairmeansthatthepricetheyreceiveforthesecuritiestheyissueisthepresentvalue.Thus,valuablefinancingopportunitiesthata