北大光华各种经济学课件corporate finance ma class

MBAMBAClassYu-JaneBehavioralBehavioralCorporatebybyH.I.I.Twoapproachestoissueincorporatefinancefrombehaviouralapproach:Rationalmarkets,irrationalRationalmanagers,irrational2 制的,否则其它竞争者将拷贝资源并赚走 3 4 5Military In1987MotorolaCEORobertGalvinapproveda$5billionphone/sa liteprojectatitsfirstpresentation. Noprojectcashflows,NPV,IRR,or Projectultima yfailedandwassoldofftoprivatePerceivedWhitemales,trustingexpertsand nningandriskOutofsight,outofmind7ExcessiveOptimismPublicSectorProjects1966,studyofmilitaryexpendituresfoundactualcostsexceededforecastedcosts.2004,costsofmilitaryoperationsinIraq3timeshigherthantheoriginal$60billionestimate.Actualcostshave,onaverage,been28%higherthanestimatedcosts,andCostshavebeenunderestimatedonnineoutofeveryten8ExcessiveOnly42%oflargesystemsprojects,lastingatleastayear,comeinonbudget.Only37%comeinon97%offirmsusecostofcapitaltechniquestoevaluatenewOnly73%dosowhendecidingwhetherornottoabandonexistingprojects.DomanagersmakenegativeNPVdecisionsbyfailingtoterminatelosingprojects?9SonyandSunkProductionprocessyieldedonly2or3usablepicturetubesper1000.RetailpriceofaChromatroncolorevisionsetwas$550,butthecostofproductionwasmorethanManagerIbukawouldnotterminate Sonywasonvergeof Surveyof75%ofCFOsreportusingIRRand75%57%ofCFOsreportedusingthepaybackUsedbyolder,longer-tenureCEOswithoutPaybackmostintuitive,NPVleastNPV與IRR 成本,以获得赞同。Intheory,managersdiscountprojectcashflowsataratethatreflectsthesystematicriskofthoseflows. Ifthoseflowscompriseaseriesofcomponents,allfeaturingdifferentlevelsofrisk,thenintheorymanagersshoulddiscounteachcomponent y,usingitsowndiscountrate.Surveyevidenceindicatesthatmostmanagersusea“onesizefitsall”heuristic.OptionsandOptions BehavioralBehavioralAPVreflectserrorsandbiasesbymanagers,themarket,orboth.WhethermanagersoffinanciallyconstrainedfirmswithpositiveNPVprojects,butwhoseequityisundervalued,shouldinvest.Under-reactionandAveragemarketresponsetoannouncementofanopenmarketrepurchaseis3.5%. Investorsappeartounder-reacttorepurchases,inthatstockpricesdriftupwardswhenfirmsrepurchaseshares.Excessivelyoptimistic,overconfidentmanagersofcashpoorfirmsrejectpositiveNPVprojectsbecausetheyovervaluetheequityoftheirfirms,andwon'tissuenewsharestofundtheproject.CashflowandPositiveWhenFCFishigh,managerstendtoacceptmoreprojects.ManagersmayrejectprojectswithNPV>0iftheydon’thavesufficientinternalfunds.III.III.FirmBehavioralBehavioralTheKeynes’BeautyPositive 的看法来作决策(而不是看基本面 Costof β的求算：ri,t-rf,t=βi(rm,t-rf,tWhat’sthemarketAchoiceovertheobservationperiodmustbeBetaAndTheFamaand Value MultifactorFamaandri,t-rf,t=βi(ri,t-SourceofMultifactorModel:EfficientMarketViewSMBandHMLarecapableofforecastingmovementsinGDPFF3modelispickingupsomenon-riskWinnerminuslosersportfolioFactorsFromLimitedIdiosyncratic BehaviouralbiasesandLimitedri,t–rft=βi(rm,t–rf,t)+δ(SMBt)++η(WMLt)+ρ(IDVOLt)極大化短期股價極大化長期價值必須採用CAPMOverlyNarrow• IV.IV.DISTRIBUTIONOFRETURNSFATTAILSORAErb,HarveyandViskanta基于MSCIindices(全球综 券市场的correlation，他们的研究期间为 年月 constant constantcorrelation，但投资组合建构者和风险管理者却仍旧持续地「假设」constantcorrelation存在， 和Losers有相对于其它 Jorion(2000)引述LonginandSolnik(1985)的发现： BDISTRIBUTIONOF Chen,HongandStein(2001)为了测试此一观 研究结果显示所有市 都是「fattails」FATTAILSOR崩盤只是一個眾所皆知fattails然而，JohansenandSornette(1997,2001a)显示崩 V.V.Howdomanagersviewtherelationshipbetweenrisktakingandthemselves?Risk-takingisapartoftheirSeethemselvesasrisktakersandaslessriskaversethantheircolleagues.SeethemselvesasgreaterrisktakersthantheyWhatisriskandwhatshouldbeMostmanagersdonottreatuncertaintyaboutpositiveesasanimportantaspectofrisk.Theyaremoresensitivetothemagnitudeoflossesthantotheprobability.BelievethatsurvivalshouldnotbeBelievethatmoreriskiswarrantedwhenfacingfailuretomeettargetsthanwhentargetsaresecure. withManagersavoidacceptingriskbybelievingriskismanageable.Theydrawdistinctionbetweengambling—withexogeneouslydeterminedodds—andrisktaking—whereskillandinformationcanreduce“Instarting Ididn’tgamble;I confidentweweregoingto CopewithAsymmetricinformationandAgencyIssues “Informationiscompromisedby ofinterestbetweenthesourceoftheinformationandtherecipient.Rewardgooddecisionsnot Usestatisticalforecastingtechniques,andcontrasttheeswithforecastsbasedonintuitivejudgments.greaternumberofmoremorebusinesspriorexperiencewithsimilarexperiencewithsimilarsizeofpriorinitialINEFFICIENTANDCORPORATEStockswhosereturnshavebeenworstovera3-yearperiodhaveoutperformedthemarketoverthesubsequent5yearsbyabout30%.Stockswhosereturnshavebeenbestovera3-yearperiodhaveunderperformedthemarketoverthesubsequent5yearsbyabout10%.Onacumulativebasis,losersoutperformwinnersbyabout40%over5years.Aportfolioformedbyholdingthewinnersfromthepast6months,andshortingthelosersfromthepast6monthsearnedmorethan10%peryear.PatternispronouncedamongsmallcapTraditionalOverreactionandunderreactionaretheresultsofrandomvariationconsistentwithmarketefficiency.Famapointedoutthatempirically,findingsofoverreactionoccuraboutasfrequentlyasfindingsofunderreactionDoManagersTrustManagersappeartobehaveasiftheybelievemarketsareinefficient.ManagersindicatethattheywouldrejectpositiveNPVprojectsifacceptingthoseprojectswouldlowertheirfirm’sEPS.Managerssplittheirstocks,eventhoughngsohasnovaluewhenmarketsareManagerstimeIPOstotakeadvantageofhotissuemarkets.Earningsvs.MajorityofCFOsviewearningsratherthancashflowsasthekeyvariableuponwhichinvestorsrelytojudgevalue.Themajorityofmanagersarewillingtosacrificefundamentalvalueinordertomeetashort-runearningstarget. OverhalfofmanagerswouldavoidinitiatingaverypositiveNPVprojectif ngsomeant ysts’targetforthecurrentquarter’s InitialUnderpricingAverageFirstDayReturns7%inthe15%inthe65%duringthebubble12%inthepost-bubble InvestmentbanksthatunderwriteIPOs Investmentbanksemployingall-yststendtogainunderwritingmarketInvestmentbankstypicallychargeanunderwritingfeethatamountsto7%ofthegrossoffering.CAPITALInSurveyevidenceindicatesthatdilutionandmarkettimingarethetopfactorsthatinfluencemanagers’decisionsaboutissuingnewequity.Thetopfactorinfluencingfinancialexecutives’decisionsaboutnewdebtisfinancialflexibility.Asagroup,managersreportthattheyattempttotargetvaluesfortheirfirms’debt-to-equityratios.However,thisfactorisratedfifthinLongLastingEmpiricalevidenceindicatesthatfirmsissuenewequitywhenstockpriceshaverecentlyrisenandmarket-to-bookratiosarehigh.Thissuggeststhatmanagersissueequitywhenthatequityismostlikelytobeoverpriced.Thisisnoshort-runphenomenon,thatfluctuationsinmarketvaluecanhaveverylong-runimpactsoncapitalDebtFirmswithlowexpectedcostsoffinancialdistressusedebtconservatively.Largeliquidfirmsinnon-cyclicalindustriesusedebtconservatively.Duringtheearly1990s,theunexploitedtaxshieldbyU.S.firmswasaboutthesameastheactualtaxshields.Thetaxbenefitofdebthasbeenestimatedtobeabout7%offirmvalue.PeckingOrderWhenlargefirmsengageinsubstantialinvestments,theytendtorelyondebtfinancing.However,theydonotappeartoexhausttheircashreservesbeforeundertakingdebt.Therefore,managersdonotbehaveinstrictaccordancewithpeckingordertheory.Managers'Over80%statethattherearenegativeconsequencestoreducingdividends.Over75%believethatdividendsconveyinformationabouttheirfirm.Over60%wouldratherraisefundstofinancenewinvestmentprojectsthancutDividendsandIndividualInthebehavioralapproach,mentalaccountingandhedoniceditingfeatureframingeffectsthatleadindividualinvestorstofinddividendsespeciallyOlder,retiredinvestorsfinddividendsattractivebecausetheyviewdividendsasare cementforwageandsalary Young,employedinvestorsfinddividendsattractivebecauseregulardividendsmakeiteasierforthem totolerate :WidowsShareholderswereolder,retired,andinmanycaseswidowed,whovieweddividend inthesamewayasSocialSecuritye.March dividendJuly21,2004issueofTheWallStreetJournalindicatedthat wasmovinginthedirectionoftheoldAT&Tmodel.BehavioralLifeBehaviorallifecyclehypothesisinvolvesself-controlmotivatedspendingrulesbasedonmentalaccountsforwealth. liquid

homeequity eisEmpiricalEmpiricalInvestorsovertheageof65concentratetheirstockholdingsinfirmsthatpayhighdividends,especiallyiftheinvestorsareTheseinvestorsholdover80%oftheirstockportfolioindividendpayingstocks.Incontrast,investorsundertheageof45hold65%oftheirportfoliosindividend paying ContrastwithInstitutionalAmonginstitutionalinvestors,pensionfundsandbanksfinddividendsattractivemainlyb