公司理财罗斯英文原书第九版第十四章.ppt

EfficientCapitalMarketsandBehavioralChallenges Chapter14 0 KeyConceptsandSkills UnderstandtheimportanceofcapitalmarketefficiencyBeabletodefinetheformsofefficiencyKnowthevariousempiricaltestsofmarketefficiencyUnderstandtheimplicationsofefficiencyforcorporatefinancemanagers 1 ChapterOutline 14 1CanFinancingDecisionsCreateValue 14 2ADescriptionofEfficientCapitalMarkets14 3TheDifferentTypesofEfficiency14 4TheEvidence14 5TheBehavioralChallengetoMarketEfficiency14 6EmpiricalChallengestoMarketEfficiency14 7ReviewingtheDifferences14 8ImplicationsforCorporateFinance 2 14 1CanFinancingDecisionsCreateValue EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtotheNPVcriterion Thenextfewchaptersconcernfinancingdecisions suchas HowmuchdebtandequitytosellWhentoselldebtandequityWhen orif topaydividendsWecanuseNPVtoevaluatefinancingdecisions 3 CreatingValuethroughFinancing FoolInvestorsEmpiricalevidencesuggeststhatitishardtofoolinvestorsconsistently ReduceCostsorIncreaseSubsidiesCertainformsoffinancinghavetaxadvantagesorcarryothersubsidies CreateaNewSecuritySometimesafirmcanfindapreviously unsatisfiedclienteleandissuenewsecuritiesatfavorableprices Inthelong run thisvaluecreationisrelativelysmall 4 14 2ADescriptionofEfficientCapitalMarkets Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation TheEMHhasimplicationsforinvestorsandfirms Sinceinformationisreflectedinsecuritypricesquickly knowinginformationwhenitisreleaseddoesaninvestorlittlegood Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell Firmscannotprofitfromfoolinginvestorsinanefficientmarket 5 FoundationsofMarketEfficiency InvestorRationalityIndependenceofeventsArbitrage 6 StockPriceReactions StockPrice 30 20 100 10 20 30 Daysbefore andafter announcement Efficientmarketresponseto goodnews Overreactionto goodnews withreversion Delayedresponseto goodnews 7 StockPriceReactions StockPrice 30 20 100 10 20 30 Daysbefore andafter announcement Efficientmarketresponseto badnews Overreactionto badnews withreversion Delayedresponseto badnews 8 14 3TheDifferentTypesofEfficiency WeakFormSecuritypricesreflectallhistoricalinformationSemistrongFormSecuritypricesreflectallpubliclyavailableinformationStrongFormSecuritypricesreflectallinformation publicandprivate 9 WeakFormMarketEfficiency Securitypricesreflectallinformationfoundinpastpricesandvolume Iftheweakformofmarketefficiencyholds thentechnicalanalysisisofnovalue Sincestockpricesonlyrespondtonewinformation whichbydefinitionarrivesrandomly stockpricesaresaidtofollowarandomwalk 10 WhyTechnicalAnalysisFails StockPrice Time Investorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns Ifitwerepossibletomakebigmoneysimplybyfinding thepattern inthestockpricemovements everyonewoulddoit andtheprofitswouldbecompetedaway 11 SemistrongFormMarketEfficiency Securitypricesreflectallpubliclyavailableinformation Publiclyavailableinformationincludes HistoricalpriceandvolumeinformationPublishedaccountingstatementsInformationfoundinannualreports 12 StrongFormMarketEfficiency Securitypricesreflectallinformation publicandprivate Strongformefficiencyincorporatesweakandsemistrongformefficiency Strongformefficiencysaysthatanythingpertinenttothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity sprice 13 InformationSets 14 WhattheEMHDoesandDoesNOTSay Investorscanthrowdartstoselectstocks Thisisalmost butnotquite true Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversionandexpectedreturn Pricesarerandomoruncaused Pricesreflectinformation ThepriceCHANGEisdrivenbynewinformation whichbydefinitionarrivesrandomly Therefore financialmanagerscannot time stockandbondsales 15 14 4TheEvidence TherecordontheEMHisextensive and inlargemeasure itisreassuringtoadvocatesoftheefficiencyofmarkets Studiesfallintothreebroadcategories Arechangesinstockpricesrandom Arethereprofitable tradingrules Eventstudies doesthemarketquicklyandaccuratelyrespondtonewinformation Therecordofprofessionallymanagedinvestmentfirms 16 AreChangesinStockPricesRandom Canwereallytell Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions AmatterofdegreeEvenifwecanspotpatterns weneedtohavereturnsthatbeatourtransactionscosts Randomstockpricechangessupportweakformefficiency 17 WhatPatternDoYouSee 18 EventStudies EventStudiesareonetypeoftestofthesemistrongformofmarketefficiency Recall thisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation Totestthis eventstudiesexaminepricesandreturnsovertime particularlyaroundthearrivalofnewinformation Testforevidenceofunderreaction overreaction earlyreaction ordelayedreactionaroundtheevent 19 EventStudies Returnsareadjustedtodetermineiftheyareabnormalbytakingintoaccountwhattherestofthemarketdidthatday TheAbnormalReturnonagivenstockforaparticulardaycanbecalculatedbysubtractingthemarket sreturnonthesameday RM fromtheactualreturn R onthestockforthatday AR R RMTheabnormalreturncanbecalculatedusingtheMarketModelapproach AR R a bRM 20 EventStudies DividendOmissions Efficientmarketresponseto badnews 21 EventStudyResults Overtheyears eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrongformefficient Studiessuggestthatmarketsmayevenhavesomeforesightintothefuture i e newstendstoleakoutinadvanceofpublicannouncements 22 TheRecordofMutualFunds Ifthemarketissemistrongformefficient thennomatterwhatpubliclyavailableinformationmutualfundmanagersrelyontopickstocks theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex 23 TheRecordofMutualFunds TakenfromLubosPastorandRobertF Stambaugh MutualFundPerformanceandSeeminglyUnrelatedAssets JournalofFinancialExonomics 63 2002 24 TheStrongFormoftheEMH Onegroupofstudiesofstrongformmarketefficiencyinvestigatesinsidertrading Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable Thus strongformefficiencydoesnotseemtobesubstantiatedbytheevidence 25 RationalityPeoplearenotalwaysrational Manyinvestorsfailtodiversify tradetoomuch andseemtotrytomaximizetaxesbysellingwinnersandholdinglosers 14 5TheBehavioralChallenge 26 IndependentDeviationsfromRationalityPsychologistsarguethatpeopledeviatefromrationalityinpredictableways Representativeness drawingconclusionsfromtoolittledataThiscanleadtobubblesinsecurityprices Conservativism peoplearetooslowinadjustingtheirbeliefstonewinformation Securitypricesseemtorespondtooslowlytoearningssurprises TheBehavioralChallenge 27 ArbitrageSupposethatyoursuperior rational analysisshowsthatcompanyABCisoverpriced Arbitragewouldsuggestthatyoushouldshorttheshares Aftertherestoftheinvestorscometotheirsenses youmakemoneybecauseyouweresmartenoughto sellhighandbuylow Butwhatiftherestoftheinvestmentcommunitydoesnotcometotheirsensesintimeforyoutocoveryourshortposition Thismakesarbitragerisky TheBehavioralChallenge 28 LimitstoArbitrage Marketscanstayirrationallongerthanyoucanstayinsolvent JohnMaynardKeynesEarningsSurprisesStockpricesadjustslowlytoearningsannouncements Behavioralistsclaimthatinvestorsexhibitconservatism SizeSmallcapstocksseemtooutperformlargecapstocks ValueversusGrowthHighbookvalue to stockpricestocksand orhighE Pstocksoutperformgrowthstocks 14 6EmpiricalChallenges 29 CrashesOnOctober19 1987 thestockmarketdroppedbetween20and25percentonaMondayfollowingaweekendduringwhichlittlesurprisingnewswasreleased Adropofthismagnitudefornoapparentreasonisinconsistentwithmarketefficiency BubblesConsiderthetechstockbubbleofthelate1990s EmpiricalChallenges 30 14 7ReviewingtheDifferences FinancialEconomistshavesortedthemselvesintothreecamps MarketefficiencyBehavioralfinanceThosethatadmitthattheydonotknowThisisperhapsthemostcontentiousareainthefield 31 14 8ImplicationsforCorporateFinance Ifinformationisreflectedinsecuritypricesquickly investorsshouldonlyexpecttoobtainanormalrateofreturn Awarenessofinformationwhenitisreleaseddoesaninvestorlittlegood Thepriceadjustsbeforetheinvestorhastimetoactonit Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell Fairmeansthatthepricetheyreceiveforthesecuritiestheyi