1、Click to edit Master text stylesSecond levelThird levelFourth levelFifth levelMcGraw-Hill/IrwinCopyright 2002 by The McGraw-Hill Companies, Inc. All rights reserved.Click here for title13-19Click here for titleClick to edit Master text stylesSecond levelThird levelFourth levelFifth levelClick here f

2、or title第十三章 公司融資決策和有效資本市場13.1 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.What Sort of Financing Decisions?Typical financing decisions include:How much debt and

3、 equity to sellWhen (or if) to pay dividendsWhen to sell debt and equityJust as we can use NPV criteria to evaluate investment decisions, we can use NPV to evaluate financing decisions.How to Create Value through FinancingFool InvestorsEmpirical evidence suggests that it is hard to fool investors co

4、nsistently.Reduce Costs or Increase SubsidiesCertain forms of financing have tax advantages or carry other subsidies.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 smal

5、l, however.13.2 A Description of Efficient Capital MarketsAn efficient capital market is one in which stock prices fully reflect available information.The EMH has implications for investors and firms.Since information is reflected in security prices quickly, knowing information when it is released d

6、oes 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.Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and aft

7、er (+) announcementEfficient market response to “good news”O(jiān)verreaction to “good news” with reversionDelayed response to “good news”Reaction of Stock Price to New Information in Efficient and Inefficient MarketsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcementEfficient market

8、 response to “bad news”O(jiān)verreaction to “bad news” with reversionDelayed response to “bad news”13.3 The Different Types of EfficiencyWeak FormSecurity prices reflect all information found in past prices and volume.Semi-Strong FormSecurity prices reflect all publicly available information.Strong FormS

9、ecurity prices reflect all informationpublic and private.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 value.Often weak-form efficiency is represented asPt = Pt-1 + Expe

10、cted 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.Why Technical Analysis FailsStock PriceTimeInvestor behavior tends to eliminate any profit opportunity associated with stock price patte

11、rns.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.SellSellBuyBuySemi-Strong Form Market EfficiencySecurity Prices reflect all publicly available information.Publicly available informatio

12、n includes:Historical price and volume informationPublished accounting statements. Information found in annual reports.Strong Form Market EfficiencySecurity Prices reflect all informationpublic and private.Strong form efficiency incorporates weak and semi-strong form efficiency.Strong form efficienc

13、y says that anything pertinent to the stock and known to at least one investor is already incorporated into the securitys price.Relationship among Three Different Information SetsAll informationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast pricesSome Common

14、MisconceptionsMuch of the criticism of the EMH has been based on a misunderstanding of the hypothesis says and does not say.What the EMH Does and Does NOT SayInvestors can throw darts to select stocks.This is almost, but not quite, true.An investor must still decide how risky a portfolio he wants ba

15、sed 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 randomly. Therefore, financial managers cannot “time” stock and bond sales.13.4 The EvidenceThe record on the EMH

16、 is extensive, and in large measure it is reassuring to advocates of the efficiency of markets.Studies fall into three broad categories:Are changes in stock prices random? Are there profitable “trading rules”?Event studies: does the market quickly and accurately respond to new information?The record

17、 of professionally managed investment firms.Are 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 optic

18、al illusions.A matter of degreeEven if we can spot patterns, we need to have returns that beat our transactions costs.Random stock price changes support weak-form efficiency.What Pattern Do You See?Double-click on this Excel chart to see a different random series. With different patterns, you may be

19、lieve that you can predict the next value in the serieseven though you know it is random.Event Studies: How Tests Are StructuredEvent 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.

20、To test this, event studies examine prices and returns over timeparticularly around the arrival of new information.Test for evidence of under reaction, overreaction, early reaction, delayed reaction around the event.How Tests Are Structured (cont.)Returns are adjusted to determine if they are abnorm

21、al 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 day:AR= R RMThe abnormal return can be calculated usi

22、ng the Market Model approach:AR= R (a + bRM)Event Studies: Dividend OmissionsEfficient 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 Investing (Spring 1997)Event Study ResultsOver the years, even

23、t 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-from efficient.In fact, the studies suggest that markets ma

24、y even have some foresight into the futurein other words, news tends to leak out in advance of public announcements.Issues in Examining the ResultsMagnitude IssueSelection Bias IssueLucky Event IssuePossible Model MisspecificationThe Record of Mutual FundsIf the market is semistrong-form efficient,

25、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 test efficiency by comparing the performance of professionally managed mutual funds with the perfo

26、rmance of a market index.The Record of Mutual FundsTaken 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).The Strong Form of the EMHOne group of studies of strong-form mark

27、et 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.Views Contrary to Market EfficiencyStock Market Crash of 1987The market dropped between 20 perc

28、ent and 25 percent on a Monday following a weekend during which little surprising information was released.Temporal AnomaliesTurn of the year, month, week.Speculative BubblesSometimes a crowd of investors can behave as a single squirrel. 13.5 Implications for Corporate FinanceBecause information is reflected in security prices quickly, investors should only expect to obtain a normal rate of return.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