公司理财13公司融资决策和有效资本市场市场

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1CorporateFinance13.1融资决策能添加价值吗

CanFinancingDecisionsCreateValue?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〕。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面几章讨论融资决策〔资产负债表的右方〕Thenextfivechaptersconcernfinancingdecisions.2CorporateFinanceWhatSortofFinancingDecisions?典型的融资决策包括Typicalfinancingdecisionsinclude:出卖债务和股权的价值Howmuchdebtandequitytosell何时〔能否〕发放股利When(orif)topaydividends何时出卖债务和股权Whentoselldebtandequity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。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.3CorporateFinance如何经过融资发明价值

HowtoCreateValuethroughFinancing1.愚弄投资者FoolInvestors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。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.4CorporateFinance5CorporateFinance6CorporateFinance13.2有效资本市场的描画

ADescriptionofEfficientCapitalMarkets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。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.7CorporateFinance8CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews〞Overreactionto“goodnews〞withreversionDelayedresponseto“goodnews〞9CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30 -20 -10 0 +10 +20 +30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews〞Overreactionto“badnews〞withreversionDelayedresponseto“badnews〞10CorporateFinance13.3有效资本市场的类型

TheDifferentTypesofEfficiency弱型有效市场WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半强型有效市场Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.强型有效市场StrongFormSecuritypricesreflectallinformation—publicandprivate.11CorporateFinance13.3.1弱型有效市场

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.12CorporateFinance为什么技术分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern〞inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy13CorporateFinance13.3.2半强型有效市场

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.14CorporateFinance13.3.3强型有效市场

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent〔相关的〕tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.15CorporateFinanceRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices16CorporateFinance13.3.4对有效市场假说的一些误解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.17CorporateFinanceWhattheEMHDoesandDoesNOTSayInvestorscanthrowdarts(飞镖)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion〔厌恶〕andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time〞stockandbondsales.18CorporateFinance13.4实证研讨的证据

TheEvidence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。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.实证研讨分为三类Studiesfallintothreebroadcategories:股价变动是随机的吗？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules〞?事件研讨：Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?专业投资公司的记录Therecordofprofessionallymanagedinvestmentfirms.19CorporateFinanceAreChangesinStockPricesRandom?Canwereallytell?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Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.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。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.20CorporateFinance21CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.22CorporateFinanceEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.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。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.23CorporateFinanceEventStudies:DividendOmissions

〔事件研讨：取消股利〕Efficientmarketresponseto“badnews〞S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?〞JournalofInvesting(Spring1997)24CorporateFinanceEventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefuture—inotherwords,newstendstoleakout〔走漏〕inadvanceofpublicannouncements.25CorporateFinanceTheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.26CorporateFinanceTheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stambaugh,“EvaluatingandInvestinginEquityMutualFunds,〞unpublishedpaper,GraduateSchoolofBusiness,UniversityofChicago(March2000).27CorporateFinanceTheStrongFormoftheEMHOnegroupofstudiesofstrong-formmarketefficiencyinvestigatesinsidertrading〔内幕买卖〕.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated〔证明〕bytheevidence.28CorporateFinanceViewsContrarytoMarketEfficiency1987年股灾StockMarketCrashof1987Themarketdroppedbetween20percentand25percentonaMondayfollowingaweekendduringwhichlittlesurprisinginformationwasreleased.时间异象TemporalAnomalies比如一月份的股票平均收益高于其他月份。Turnoftheyear,—month,—week.投机泡沫SpeculativeBubblesSometimesacrowdofinvestorscanbehaveasasinglesquirrel〔松鼠〕.29CorporateFinance13.5对公司理财的含义

ImplicationsforCorporateFinanceBecauseinformationisreflectedinsecuritypricesquickly,investorsshouldonlyexpecttoobtainanormalrateofreturn.Awareness〔知道〕ofinformationwhenitisreleaseddoesaninvestorlittlegood.Thepriceadjustsbeforetheinvestorhastimetoactonit.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Fairmeansthatthepricetheyreceiveforthesecuritiestheyissueisthepresentvalue.Thus,valuablefinancingopport