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)1CorporateFinance13.1融資決策能添加價(jià)值嗎

CanFinancingDecisionsCreateValue?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〕。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面幾章討論融資決策〔資產(chǎn)負(fù)債表的右方〕Thenextfivechaptersconcernfinancingdecisions.2CorporateFinanceWhatSortofFinancingDecisions?典型的融資決策包括Typicalfinancingdecisionsinclude:出賣債務(wù)和股權(quán)的價(jià)值Howmuchdebtandequitytosell何時(shí)〔能否〕發(fā)放股利When(orif)topaydividends何時(shí)出賣債務(wù)和股權(quán)Whentoselldebtandequity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。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.3CorporateFinance如何經(jīng)過融資發(fā)明價(jià)值

HowtoCreateValuethroughFinancing1.愚弄投資者FoolInvestors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。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.4CorporateFinance5CorporateFinance6CorporateFinance13.2有效資本市場(chǎng)的描畫

ADescriptionofEfficientCapitalMarkets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)。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.7CorporateFinance8CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews〞Overreactionto“goodnews〞withreversionDelayedresponseto“goodnews〞9CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews〞Overreactionto“badnews〞withreversionDelayedresponseto“badnews〞10CorporateFinance13.3有效資本市場(chǎng)的類型

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.11CorporateFinance13.3.1弱型有效市場(chǎng)

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.12CorporateFinance為什么技術(shù)分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern〞inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy13CorporateFinance13.3.2半強(qiáng)型有效市場(chǎng)

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.14CorporateFinance13.3.3強(qiáng)型有效市場(chǎng)

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent〔相關(guān)的〕tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.15CorporateFinanceRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices16CorporateFinance13.3.4對(duì)有效市場(chǎng)假說的一些誤解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.17CorporateFinanceWhattheEMHDoesandDoesNOTSayInvestorscanthrowdarts(飛鏢)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion〔厭惡〕andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time〞stockandbondsales.18CorporateFinance13.4實(shí)證研討的證據(jù)

TheEvidence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。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.實(shí)證研討分為三類Studiesfallintothreebroadcategories:股價(jià)變動(dòng)是隨機(jī)的嗎？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules〞?事件研討：Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?專業(yè)投資公司的記錄Therecordofprofessionallymanagedinvestmentfirms.19CorporateFinanceAreChangesinStockPricesRandom?Canwereallytell?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Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.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。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.20CorporateFinance21CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.22CorporateFinanceEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.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。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.23CorporateFinanceEventStudies:DividendOmissions

〔事件研討：取消股利〕Efficientmarketresponseto“badnews〞S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?〞JournalofInvesting(Spring1997)24CorporateFinanceEventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefuture—inotherwords,newstendstoleakout〔走漏〕inadvanceofpublicannouncements.25CorporateFinanceTheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.26CorporateFinanceTheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,〞unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).27CorporateFinanceTheStrongFormoftheEMHOnegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading〔內(nèi)幕買賣〕.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated〔證明〕bytheevidence.28CorporateFinanceViewsContrarytoMarketEfficiency1987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〕.29CorporateFinance13.5對(duì)公司理財(cái)?shù)暮x

ImplicationsforCorporateFinanceBecauseinformationisreflectedinsecuritypricesquickly,investorsshouldonlyexpecttoobtainanormalrateofreturn.Awareness〔知道〕ofinformationwhenitisreleaseddoesaninvestorlittlegood.Thepriceadjustsbeforetheinvestorhastimetoactonit.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Fairmeansthatthepricetheyreceiveforthesecuritiestheyissueisthepresentvalue.Thus,valuablefinancingopport