第十三章 公司融资决策和有效资本市场.ppt

ChapterOutline,13.1CanFinancingDecisionsCreateValue?13.2ADescriptionofEfficientCapitalMarkets13.3TheDifferentTypesofEfficiency13.4TheEvidence13.5ImplicationsforCorporateFinance13.6SummaryandConclusions,13.1CanFinancingDecisionsCreateValue?,EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.Thenextfivechaptersconcernfinancingdecisions.,WhatSortofFinancingDecisions?,Typicalfinancingdecisionsinclude:HowmuchdebtandequitytosellWhen(orif)topaydividendsWhentoselldebtandequityJustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.,HowtoCreateValuethroughFinancing,FoolInvestorsEmpiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.ReduceCostsorIncreaseSubsidiesCertainformsoffinancinghavetaxadvantagesorcarryothersubsidies.CreateaNewSecuritySometimesafirmcanfindapreviously-unsatisfiedclienteleandissuenewsecuritiesatfavorableprices.Inthelong-run,thisvaluecreationisrelativelysmall,however.,13.2ADescriptionofEfficientCapitalMarkets,Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.TheEMHhasimplicationsforinvestorsandfirms.Sinceinformationisreflectedinsecuritypricesquickly,knowinginformationwhenitisreleaseddoesaninvestornogood.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Firmscannotprofitfromfoolinginvestorsinanefficientmarket.,ReactionofStockPricetoNewInformationinEfficientandInefficientMarkets,StockPrice,-30-20-100+10+20+30,Daysbefore(-)andafter(+)announcement,Efficientmarketresponseto“goodnews”,Overreactionto“goodnews”withreversion,Delayedresponseto“goodnews”,ReactionofStockPricetoNewInformationinEfficientandInefficientMarkets,StockPrice,-30-20-100+10+20+30,Daysbefore(-)andafter(+)announcement,Efficientmarketresponseto“badnews”,Overreactionto“badnews”withreversion,Delayedresponseto“badnews”,13.3TheDifferentTypesofEfficiency,WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.StrongFormSecuritypricesreflectallinformationpublicandprivate.,WeakFormMarketEfficiency,Securitypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.,WhyTechnicalAnalysisFails,StockPrice,Time,Investorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.,Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.,Semi-StrongFormMarketEfficiency,SecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.,StrongFormMarketEfficiency,SecurityPricesreflectallinformationpublicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinenttothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecuritysprice.,RelationshipamongThreeDifferentInformationSets,SomeCommonMisconceptions,MuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.,WhattheEMHDoesandDoesNOTSay,Investorscanthrowdartstoselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversionandthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.,13.4TheEvidence,TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.Studiesfallintothreebroadcategories:Arechangesinstockpricesrandom?Arethereprofitable“tradingrules”?Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?Therecordofprofessionallymanagedinvestmentfirms.,AreChangesinStockPricesRandom?,Canwereallytell?Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.AmatterofdegreeEvenifwecanspotpatterns,weneedtohavereturnsthatbeatourtransactionscosts.Randomstockpricechangessupportweak-formefficiency.,WhatPatternDoYouSee?,Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheserieseventhoughyouknowitisrandom.,EventStudies:HowTestsAreStructured,EventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertimeparticularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.,HowTestsAreStructured(cont.),Returnsareadjustedtodetermineiftheyareabnormalbytakingintoaccountwhattherestofthemarketdidthatday.TheAbnormalReturnonagivenstockforaparticulardaycanbecalculatedbysubtractingthemarketsreturnonthesameday(RM)fromtheactualreturn(R)onthestockforthatday:AR=RRMTheabnormalreturncanbecalculatedusingtheMarketModelapproach:AR=R(a+bRM),EventStudies:DividendOmissions,Efficientmarketresponseto“badnews”,S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?”JournalofInvesting(Spring1997),EventStudyResults,Overtheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefutureinotherwords,newstendstoleakoutinadvanceofpublicannouncements.,IssuesinExaminingtheResults,MagnitudeIssueSelectionBiasIssueLuckyEventIssuePossibleModelMisspecification,TheRecordofMutualFunds,Ifthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.,TheRecordofMutualFunds,TakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,”unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).,TheStrongFormoftheEMH,Onegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiatedbytheevidence.,ViewsContrarytoMarketEfficiency,StockMarketCrashof1987Themarketdroppedbetween20percentand25percentonaMondayfollowingaweekendduringwhichlittlesurprisinginformationwasreleased.TemporalAnomaliesTurnoftheyear,month,week.SpeculativeBubblesSometimesacrowdofinvestorscanbehaveasasinglesquirrel.,13.5ImplicationsforCorporateFinance,Becauseinformationisreflectedinsecuritypricesquickly,investorsshouldonlyexpecttoobtainanormalrateofreturn.Awarenessofinformationwhenitisreleaseddoesaninvestorlittlegood.Thepriceadjustsbeforetheinvestorhastimetoactonit.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Fairmeansthatthepricetheyreceiveforthesecuritiestheyissueisthepresentvalue.Thus,valuablefinancingopportunitiesthatarisefromfoolinginvestorsareunavailableinefficientmarkets.,13.5ImplicationsforCorporateFinance,TheEMHhasthreeimplicationsforcorporatefinance:Thepriceofacompanysstockca