第13章公司融資決策和有效資本市場13.1融資決策能添加價值嗎13.2有效資本市場的描畫13.3有效資本市場的類型13.4實證研討的證據13.5資本市場效率實際對公司理財的含義13.6小結1CorporateFinance13.1融資決策能添加價值嗎

CanFinancingDecisionsCreateValue?前面的幾章論述了如何根據凈現值原那么評價投資工程〔資產負債表的左方〕。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面幾章討論融資決策〔資產負債表的右方〕Thenextfivechaptersconcernfinancingdecisions.2CorporateFinanceWhatSortofFinancingDecisions?典型的融資決策包括Typicalfinancingdecisionsinclude:出賣債務和股權的價值Howmuchdebtandequitytosell何時〔能否〕發放股利When(orif)topaydividends何時出賣債務和股權Whentoselldebtandequity正如在資本預算中運用凈現值準那么評價投資工程，我們運用NPV來評價融資決策。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.3CorporateFinance如何經過融資發明價值

HowtoCreateValuethroughFinancing1.愚弄投資者FoolInvestors如經過發行認股權證等復雜證券進展融資，誘導投資者對于復雜證券過于樂觀，從而使公司獲得的價值超越其真實價值。實證研討以為不斷愚弄消費者是困難的。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.4CorporateFinance5CorporateFinance6CorporateFinance13.2有效資本市場的描畫

ADescriptionofEfficientCapitalMarkets有效資本市場是指資產的現有市場價錢可以充分反映一切有關可用信息的資本市場。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有效資本市場的類型

TheDifferentTypesofEfficiency弱型有效市場WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半強型有效市場Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.強型有效市場StrongFormSecuritypricesreflectallinformation—publicandprivate.11CorporateFinance13.3.1弱型有效市場

WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.12CorporateFinance為什么技術分析失效

WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern〞inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy13CorporateFinance13.3.2半強型有效市場

Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.14CorporateFinance13.3.3強型有效市場

StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent〔相關的〕tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.15CorporateFinanceRelationshipamongThreeDifferentInformationSetsAllinformation

relevanttoastockInformationset

ofpubliclyavailable

informationInformation

setof

pastprices16CorporateFinance13.3.4對有效市場假說的一些誤解

SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.17CorporateFinanceWhattheEMHDoesandDoesNOTSayInvestorscanthrowdarts(飛鏢)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion〔厭惡〕andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time〞stockandbondsales.18CorporateFinance13.4實證研討的證據

TheEvidence有效市場假設的研討記錄相當廣泛，而且大量的計量研討結果都支持市場效率實際。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.實證研討分為三類Studiesfallintothreebroadcategories:股價變動是隨機的嗎？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules〞?事件研討：Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?專業投資公司的記錄Therecordofprofessionallymanagedinvestmentfirms.19CorporateFinanceAreChangesinStockPricesRandom?Canwereallytell?心思學家和統計學家以為，大多數人面臨純隨機動搖時相想找出圖形規律Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.強調看出股票價錢數據具有某種規律的人們能夠是由于眼力錯覺引起的。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.20CorporateFinance21CorporateFinanceWhatPatternDoYouSee?Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.22CorporateFinanceEventStudies:HowTestsAreStructuredEventStudiesareonetypeoftestofthesemi-strongformofmarketefficiency.半強型有效市場假說的含義是價錢充分反映一切公開可用的信息。ThisformoftheEMHimpliesthatpricesshouldreflectallpubliclyavailableinformation.Totestthis,eventstudiesexaminepricesandreturnsovertime—particularlyaroundthearrivalofnewinformation.Testforevidenceofunderreaction,overreaction,earlyreaction,delayedreactionaroundtheevent.23CorporateFinanceEventStudies:DividendOmissions

〔事件研討：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〔內幕買賣〕.Anumberofstudiessupporttheviewthatinsidertradingisabnormallyprofitable.Thus,strong-formefficiencydoesnotseemtobesubstantiated〔證明〕bytheevidence.28CorporateFinanceViewsContrarytoMarketEfficiency1987年股災StockMarketCrashof1987Themarketdroppedbetween20percentand25percentonaMondayfollowingaweekendduringwhichlittlesurprisinginformationwasreleased.時間異象TemporalAnomalies比如一月份的股票平均收益高于其他月份。Turnoftheyear,—month,—week.投機泡沫SpeculativeBubblesSometimesacrowdofinvestorscanbehaveasasinglesquirrel〔松鼠〕.29CorporateFinance13.5對公司理財的含義

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