第十三章 公司融资决策和有效资本市场.pptx
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第十三章 公司融资决策和有效资本市场.pptx
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McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-1ChapterOutline13.1CanFinancingDecisionsCreateValue?
13.2ADescriptionofEfficientCapitalMarkets13.3TheDifferentTypesofEfficiency13.4TheEvidence13.5ImplicationsforCorporateFinance13.6SummaryandConclusionsMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-213.1CanFinancingDecisionsCreateValue?
EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.Thenextfivechaptersconcernfinancingdecisions.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-3WhatSortofFinancingDecisions?
Typicalfinancingdecisionsinclude:
HowmuchdebtandequitytosellWhen(orif)topaydividendsWhentoselldebtandequityJustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-4HowtoCreateValuethroughFinancing1.FoolInvestorsEmpiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.2.ReduceCostsorIncreaseSubsidiesCertainformsoffinancinghavetaxadvantagesorcarryothersubsidies.3.CreateaNewSecuritySometimesafirmcanfindapreviously-unsatisfiedclienteleandissuenewsecuritiesatfavorableprices.Inthelong-run,thisvaluecreationisrelativelysmall,however.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-513.2ADescriptionofEfficientCapitalMarketsAnefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.TheEMHhasimplicationsforinvestorsandfirms.Sinceinformationisreflectedinsecuritypricesquickly,knowinginformationwhenitisreleaseddoesaninvestornogood.Firmsshouldexpecttoreceivethefairvalueforsecuritiesthattheysell.Firmscannotprofitfromfoolinginvestorsinanefficientmarket.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-6ReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30-20-100+10+20+30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews”Overreactionto“goodnews”withreversionDelayedresponseto“goodnews”McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-7ReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30-20-100+10+20+30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews”Overreactionto“badnews”withreversionDelayedresponseto“badnews”McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-813.3TheDifferentTypesofEfficiencyWeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.StrongFormSecuritypricesreflectallinformationpublicandprivate.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-9WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-10WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuyMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-11Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:
HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-12StrongFormMarketEfficiencySecurityPricesreflectallinformationpublicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinenttothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecuritysprice.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-13RelationshipamongThreeDifferentInformationSetsAllinformationrelevanttoastockInformationsetofpubliclyavailableinformationInformationsetofpastpricesMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-14SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-15WhattheEMHDoesandDoesNOTSayInvestorscanthrowdartstoselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversionandthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-1613.4TheEvidenceTherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.Studiesfallintothreebroadcategories:
1.Arechangesinstockpricesrandom?
Arethereprofitable“tradingrules”?
2.Eventstudies:
doesthemarketquicklyandaccuratelyrespondtonewinformation?
3.Therecordofprofessionallymanagedinvestmentfirms.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-17AreChangesinStockPricesRandom?
Canwereallytell?
Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.AmatterofdegreeEvenifwecanspotpatterns,weneedtohavereturnsthatbeatourtransactionscosts.Randomstockpricechangessupportweak-formefficiency.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-18WhatPatternDoYouSee?
Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheserieseventhoughyouknowitisrandom.RandomlySelectedNumbers00.20.40.60.811.2135791113151719212325McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-19EventStudies:
HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertimeparticularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-20HowTestsAreStructured(cont.)Returnsareadjustedtodetermineiftheyareabnormalbytakingintoaccountwhattherestofthemarketdidthatday.TheAbnormalReturnonagivenstockforaparticulardaycanbecalculatedbysubtractingthemarketsreturnonthesameday(RM)fromtheactualreturn(R)onthestockforthatday:
AR=RRMTheabnormalreturncanbecalculatedusingtheMarketModelapproach:
AR=R(a+bRM)McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-21EventStudies:
DividendOmissionsEfficientmarketresponseto“badnews”S.H.Szewczyk,G.P.Tsetsekos,andZ.Santout“DoDividendOmissionsSignalFutureEarningsorPastEarnings?
”JournalofInvesting(Spring1997)CumulativeAbnormalReturnsforCompaniesAnnouncingDividendOmissions0.1460.108-0.720.032-0.244-0.483-3.619-5.015-5.411-5.183-4.898-4.563-4.747-4.685-4.49-6-5-4-3-2-101-8-6-4-202468DaysrelativetoannouncementofdividendomissionCumulativeabnormalreturns(%)McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-22EventStudyResultsOvertheyears,eventstudymethodologyhasbeenappliedtoalargenumberofeventsincluding:
DividendincreasesanddecreasesEarningsannouncementsMergersCapitalSpendingNewIssuesofStockThestudiesgenerallysupporttheviewthatthemarketissemistrong-fromefficient.Infact,thestudiessuggestthatmarketsmayevenhavesomeforesightintothefutureinotherwords,newstendstoleakoutinadvanceofpublicannouncements.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-23IssuesinExaminingtheResultsMagnitudeIssueSelectionBiasIssueLuckyEventIssuePossibleModelMisspecificationMcGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-24TheRecordofMutualFundsIfthemarketissemistrong-formefficient,thennomatterwhatpubliclyavailableinformationmutual-fundmanagersrelyontopickstocks,theiraveragereturnsshouldbethesameasthoseoftheaverageinvestorinthemarketasawhole.Wecantestefficiencybycomparingtheperformanceofprofessionallymanagedmutualfundswiththeperformanceofamarketindex.McGraw-Hill/IrwinCopyright2002byTheMcGraw-HillCompanies,Inc.Allrightsreserved.13-25TheRecordofMutualFundsTakenfromLubosPastorandRobertF.Stam
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