公司理财13公司融资决策和有效资本市场市场ppt课件

1、第13章 公司融资决策和有效资本市场13.1 融资决策能添加价值吗13.2 有效资本市场的描画13.3 有效资本市场的类型13.4 实证研讨的证据13.5 资本市场效率实际对公司理财的含义13.6 小结.13.1 融资决策能添加价值吗Can Financing Decisions Create Value?前面的几章论述了如何根据净现值原那么评价投资工程资产负债表的左方。Earlier parts of the book show how to evaluate investment projects according the NPV criterion.下面几章讨论融资决策资产负债表的右方

2、The next five chapters concern financing decisions.What Sort of Financing Decisions?典型的融资决策包括 Typical financing decisions include:出卖债务和股权的价值 How much debt and equity to sell何时能否发放股利 When (or if) to pay dividends何时出卖债务和股权 When to sell debt and equity正如在资本预算中运用净现值准那么评价投资工程，我们运用NPV来评价融资决策。Just as we ca

3、n use NPV criteria to evaluate investment decisions, we can use NPV to evaluate financing decisions.如何经过融资发明价值How to Create Value through Financing1. 愚弄投资者 Fool Investors如经过发行认股权证等复杂证券进展融资，诱导投资者对于复杂证券过于乐观，从而使公司获得的价值超越其真实价值。实证研讨以为不断愚弄消费者是困难的。Empirical evidence suggests that it is hard to fool investo

4、rs consistently.13.2 有效资本市场的描画A Description of Efficient Capital Markets有效资本市场是指资产的现有市场价钱可以充分反映一切有关可用信息的资本市场。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 有效资本市场的类型The Different Types of Efficiency弱型有效市场 Weak FormSecurity prices reflect all information found in past prices and volume.半强型有效市场 Semi-Strong FormSecurity prices

7、reflect all publicly available information.强型有效市场 Strong FormSecurity prices reflect all informationpublic and private.13.3.1 弱型有效市场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.为什么技术分析失效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 半强型有效市场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 强型有效市场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相关的 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 对有效市场假说的一些误解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(飞镖) 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厌恶 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 实证研讨的证据The Evidence有效市场假设的研讨记录相当广泛，而且大量的计量研讨结果都支持市场效率实际。The record on the EMH is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.实证研讨分为三类 Studies fall

15、 into three broad categories:股价变动是随机的吗？Are changes in stock prices random? Are there profitable “trading rules?事件研讨： Event studies : does the market quickly and accurately respond to new information?专业投资公司的记录 The record of professionally managed investment firms.Are Changes in Stock Prices Random?Ca

16、n we really tell?心思学家和统计学家以为，大多数人面临纯随机动摇时相想找出图形规律 Many psychologists and statisticians believe that most people want to see patterns even when faced with pure randomness.强调看出股票价钱数据具有某种规律的人们能够是由于眼力错觉引起的。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.半强型有效市场假说的含义是价钱充分反映一切公开可用的信息。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事件研讨：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内幕买卖.A number of studies support the

24、view that insider trading is abnormally profitable.Thus, strong-form efficiency does not seem to be substantiated证明 by the evidence.Views Contrary to Market Efficiency1987年股灾 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.时间异象 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.投机泡沫 Speculative BubblesSometimes a crowd of investors can behave as a single squirrel松鼠. .13.5 对公司理财的含义Implications 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