公司融资决策与有效资本市场(英文版).pptx

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1、McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-0Chapter Outline13.1 Can Financing Decisions Create Value?13.2 A Description of Efficient Capital Markets13.3 The Different Types of Efficiency13.4 The Evidence13.5 Implications for Corporate Finance13.6 Summar

2、y and ConclusionsMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-113.1 Can Financing Decisions Create Value? Earlier parts of the book show how to evaluate investment projects according the NPV criterion. The next five chapters concern financing decisions.Mc

3、Graw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-2What Sort of Financing Decisions? Typical financing decisions include: How much debt and equity to sell When (or if) to pay dividends When to sell debt and equity Just as we can use NPV criteria to evaluate inve

4、stment decisions, we can use NPV to evaluate financing decisions.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-3How to Create Value through Financing1. Fool InvestorsEmpirical evidence suggests that it is hard to fool investors consistently.2. Reduce Costs

5、 or Increase SubsidiesCertain forms of financing have tax advantages or carry other subsidies.3. Create a New SecuritySometimes a firm can find a previously-unsatisfied clientele and issue new securities at favorable prices. In the long-run, this value creation is relatively small, however.McGraw-Hi

6、ll/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-413.2 A Description of Efficient Capital Markets An efficient capital market is one in which stock prices fully reflect available information. The EMH has implications for investors and firms. Since information is refle

7、cted in security prices quickly, knowing information when it is released does an investor no good. Firms should expect to receive the fair value for securities that they sell. Firms cannot profit from fooling investors in an efficient market.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Compani

8、es, Inc. All rights reserved.13-5Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcementEfficient market response to “good news”Overreaction to “good news” with reversionDelayed response to “good news”Mc

9、Graw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-6Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcementEfficient market response to “bad news”Overreaction to “bad

10、 news” with reversionDelayed response to “bad news”McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-713.3 The Different Types of Efficiency Weak Form Security prices reflect all information found in past prices and volume. Semi-Strong Form Security prices ref

11、lect all publicly available information. Strong Form Security prices reflect all informationpublic and private.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-8Weak Form Market Efficiency Security prices reflect all information found in past prices and volum

12、e. If the weak form of market efficiency holds, then technical analysis is of no value. Often weak-form efficiency is represented asPt = Pt-1 + Expected return + random error t Since stock prices only respond to new information, which by definition arrives randomly, stock prices are said to follow a

13、 random walk.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-9Why Technical Analysis FailsStock PriceTimeInvestor behavior tends to eliminate any profit opportunity associated with stock price patterns.If it were possible to make big money simply by finding

14、“the pattern” in the stock price movements, everyone would do it and the profits would be competed away.SellSellBuyBuyMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-10Semi-Strong Form Market Efficiency Security Prices reflect all publicly available informat

15、ion. Publicly available information includes: Historical price and volume information Published accounting statements. Information found in annual reports.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-11Strong Form Market Efficiency Security Prices reflect

16、 all informationpublic and private. Strong form efficiency incorporates weak and semi-strong form efficiency. Strong form efficiency says that anything pertinent to the stock and known to at least one investor is already incorporated into the securitys price.McGraw-Hill/IrwinCopyright 2002 by The Mc

17、Graw-Hill Companies, Inc. All rights reserved.13-12Relationship among Three Different Information SetsAll informationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast pricesMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13

18、-13Some Common Misconceptions Much of the criticism of the EMH has been based on a misunderstanding of the hypothesis says and does not say.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-14What the EMH Does and Does NOT Say Investors can throw darts to sele

19、ct stocks. This is almost, but not quite, true. An investor must still decide how risky a portfolio he wants based on risk aversion and the level of expected return. Prices are random or uncaused. Prices reflect information. The price CHANGE is driven by new information, which by definition arrives

20、randomly. Therefore, financial managers cannot “time” stock and bond sales.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-1513.4 The EvidenceThe record on the EMH is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.

21、Studies fall into three broad categories:1.Are changes in stock prices random? Are there profitable “trading rules”?2.Event studies: does the market quickly and accurately respond to new information?3.The record of professionally managed investment firms.McGraw-Hill/IrwinCopyright 2002 by The McGraw

22、-Hill Companies, Inc. All rights reserved.13-16Are Changes in Stock Prices Random? Can we really tell? Many psychologists and statisticians believe that most people want to see patterns even when faced with pure randomness. People claiming to see patterns in stock price movements are probably seeing

23、 optical illusions. A matter of degree Even if we can spot patterns, we need to have returns that beat our transactions costs. Random stock price changes support weak-form efficiency.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-17What Pattern Do You See?R

24、andomly Selected Numbers00.20.40.60.811.2135791113151719212325Double-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.McGraw-Hill/IrwinCopyright 2002 by The McGraw-H

25、ill Companies, Inc. All rights reserved.13-18Event Studies: How Tests Are Structured Event Studies are one type of test of the semi-strong form of market efficiency.This form of the EMH implies that prices should reflect all publicly available information. To test this, event studies examine prices

26、and returns over timeparticularly around the arrival of new information. Test for evidence of under reaction, overreaction, early reaction, delayed reaction around the event.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-19How Tests Are Structured (cont.) R

27、eturns are adjusted to determine if they are abnormal by taking into account what the rest of the market did that day. The Abnormal Return on a given stock for a particular day can be calculated by subtracting the markets return on the same day (RM) from the actual return (R) on the stock for that d

28、ay:AR= R RM The abnormal return can be calculated using the Market Model approach:AR= R (a + bRM)McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-20Event Studies: Dividend OmissionsCumulative Abnormal Returns for Companies Announcing Dividend Omissions0.1460.

29、108-0.720.032-0.244-0.483-3.619-5.015-5.411-5.183-4.898-4.563-4.747-4.685-4.49-6-5-4-3-2-101-8-6-4-202468Days relative to announcement of dividend omissionCumulative abnormal returns (%)Efficient market response to “bad news”S.H. Szewczyk, G.P. Tsetsekos, and Z. Santout “Do Dividend Omissions Signal

30、 Future Earnings or Past Earnings?” Journal of Investing (Spring 1997)McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-21Event Study Results Over the years, event study methodology has been applied to a large number of events including: Dividend increases and

31、 decreases Earnings announcements Mergers Capital Spending New Issues of Stock The studies generally support the view that the market is semistrong-from efficient. In fact, the studies suggest that markets may even have some foresight into the futurein other words, news tends to leak out in advance

32、of public announcements.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-22Issues in Examining the Results Magnitude Issue Selection Bias Issue Lucky Event Issue Possible Model MisspecificationMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc.

33、 All rights reserved.13-23The Record of Mutual Funds If the market is semistrong-form efficient, then no matter what publicly available information mutual-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

34、test efficiency by comparing the performance of professionally managed mutual funds with the performance of a market index.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-24The Record of Mutual FundsAnnual Return Performance of Different Types of U.S. Mutual

35、 Funds Relative to a Broad-Based Market Index (1963-1998)-60.00%-50.00%-40.00%-30.00%-20.00%-10.00%0.00%All fundsSmall-companygrowthfundsOther-aggressivegrowthfundsGrowthfundsIncomefundsGrowth andincomefundsMaximumcapitalgainsfundsSectorfunds Annual Return PerformanceTaken from Lubos Pastor and Robe

36、rt F. Stambaugh, “Evaluating and Investing in Equity Mutual Funds,” unpublished paper, Graduate School of Business, University of Chicago (March 2000).McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-25The Strong Form of the EMH One group of studies of strong

37、-form market efficiency investigates insider trading. A number of studies support the view that insider trading is abnormally profitable. Thus, strong-form efficiency does not seem to be substantiated by the evidence.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reser

38、ved.13-26Views Contrary to Market Efficiency Stock Market Crash of 1987 The market dropped between 20 percent and 25 percent on a Monday following a weekend during which little surprising information was released. Temporal Anomalies Turn of the year, month, week. Speculative Bubbles Sometimes a crow

39、d of investors can behave as a single squirrel. McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-2713.5 Implications for Corporate Finance Because information is reflected in security prices quickly, investors should only expect to obtain a normal rate of ret

40、urn. Awareness 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 they sell. Fair means that the price they receive for the securities they issue is the presen

41、t value. Thus, valuable financing opportunities that arise from fooling investors are unavailable in efficient markets.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-2813.5 Implications for Corporate FinanceThe EMH has three implications for corporate finan

42、ce:1.The price of a companys stock cannot be affected by a change in accounting.2.Financial managers cannot “time” issues of stocks and bonds using publicly available information.3.A firm can sell as many shares of stocks or bonds as it desires without depressing prices.There is conflicting empirica

43、l evidence on all three points.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-29Why Doesnt Everybody Believe the EMH? There are optical illusions, mirages, and apparent patterns in charts of stock market returns. The truth is less interesting. There is some

44、 evidence against market efficiency: Seasonality Small versus Large stocks Value versus growth stocks The tests of market efficiency are weak.McGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.13-3013.6 Summary and Conclusions An efficient market incorporates info

45、rmation in security prices. There are three forms of the EMH: Weak-Form EMHSecurity prices reflect past price data. Semistrong-Form EMHSecurity prices reflect publicly available information. Strong-Form EMHSecurity prices reflect all information. There is abundant evidence for the first two forms of the EMH.