公司理财13公司融资决策和有效资本市场市场

1、第1313.1 融资决策能增加价值吗13.2 有效资本市场的描述13.3 有效资本市场的类型13.4 实证研究的证据13.5 13.6 小结113.1 融资决策能增加价值吗Can Financing Decisions Create Value?前面的几章阐述了如何根据净现值原则评价投资项目（资产负债表的左方）。Earlier parts of the book show how to evaluate investment projects according the NPV criterion.下面几章探讨融资决策（资产负债表的右方）The next five chapters conce

2、rn financing decisions.2What Sort of Financing Decisions?典型的融资决策包括 Typical financing decisions include:出售债务和股权的价值 How much debt and equity to sell何时（是否）发放股利 When (or if) to pay dividends何时出售债务和股权 When to sell debt and equity正如在资本预算中使用净现值准则评价投资项目，我们使用NPV来评价融资决策。Just as we can use NPV criteria to eval

3、uate investment decisions, we can use NPV to evaluate financing decisions.3如何通过融资创造价值How to Create Value through Financing1. 愚弄投资者 Fool Investors如通过发行认股权证等复杂证券进行融资，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过其真实价值。实证研究认为一直愚弄消费者是艰难的。Empirical evidence suggests that it is hard to fool investors consistently.45613.2 有

4、效资本市场的描述A Description of Efficient Capital Markets有效资本市场是指资产的现有市场价格能够充分反映所有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.78Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days bef

5、ore (-) and after (+) announcementEfficient market response to “good news”Overreaction to “good news” with reversionDelayed response to “good news”9Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcement

6、Efficient market response to “bad news”Overreaction to “bad news” with reversionDelayed response to “bad news”1013.3 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 reflect all p

7、ublicly available information.强型有效市场 Strong FormSecurity prices reflect all informationpublic and private.1113.3.1 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 is of no va

8、lue.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.12为什么技术分析失效Why Technical Analysis FailsStock PriceTimeInvestor behavior

9、 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.SellSellBuyBuy1313.3.2 半强型有效市场Semi-Strong Form Market Effici

10、encySecurity Prices reflect all publicly available information.Publicly available information includes:Historical price and volume informationPublished accounting statements. Information found in annual reports.1413.3.3 强型有效市场Strong Form Market EfficiencySecurity Prices reflect all informationpublic

11、 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.15Relationship among Three Different Information SetsAll inf

12、ormationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast prices1613.3.4 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.17What the EMH Does and Does NOT SayInves

13、tors 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 informati

14、on, which by definition arrives randomly. Therefore, financial managers cannot “time” stock and bond sales.1813.4 实证研究的证据The Evidence有效市场假设的研究记录相当广泛，而且大量的计量研究结果都支持市场效率理论。The record on the EMH is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.实证研究分为三类 Studi

15、es fall into three broad categories:股价变动是随机的吗？Are changes in stock prices random? Are there profitable “trading rules”?事件研究： 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.19Are Changes in Stock Prices

16、 Random?Can we really tell?心理学家和统计学家认为，大多数人面临纯随机波动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.强调看出股票价格数据具有某种规律的人们可能是由于眼力错觉引起的。People claiming to see patterns in stock price movements are probably seeing optical ill

17、usions. 2021What 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.22Event Studies: How Tests Are StructuredEvent Studies are one type of te

18、st of the semi-strong form of market efficiency.半强型有效市场假说的含义是价格充分反映所有公开可用的信息。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 evidenc

19、e of under reaction, overreaction, early reaction, delayed reaction around the event.23Event Studies: Dividend Omissions（事件研究：取消股利）Efficient market response to “bad news”S.H. Szewczyk, G.P. Tsetsekos, and Z. Santout “Do Dividend Omissions Signal Future Earnings or Past Earnings?” Journal of Investin

20、g (Spring 1997)24Event 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-fro

21、m efficient.In fact, the studies suggest that markets may even have some foresight into the futurein other words, news tends to leak out（泄漏） in advance of public announcements.25The Record of Mutual FundsIf the market is semistrong-form efficient, then no matter what publicly available information m

22、utual-fund managers rely on 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.26The Record of Mutual Fund

23、sTaken from Lubos Pastor and Robert F. Stambaugh, “Evaluating and Investing in Equity Mutual Funds,” unpublished paper, Graduate School of Business, University of Chicago (March 2000).27The Strong Form of the EMHOne group of studies of strong-form market efficiency investigates insider trading（内幕交易）

24、.A number of studies support the view that insider trading is abnormally profitable.Thus, strong-form efficiency does not seem to be substantiated（证实） by the evidence.28Views Contrary to Market Efficiency1987年股灾 Stock Market Crash of 1987The market dropped between 20 percent and 25 percent on a Mond

25、ay following a weekend during which little 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）. 2913.5 对公司理财的含义Implications for Corporate FinanceBecause

26、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 securities that t