taiwan财务管理_lecture12(ch12)

©TheMcGraw-HillCompanies,Inc.,200112-1Irwin/McGraw-HillIrwin/McGraw-HillChapter12FundamentalsofCorporateFinanceThirdEditionCorporateFinancingandtheLessonsofMarketEfficiencyBrealeyMyersMarcusslidesbyMatthewWillIrwin/McGraw-Hill©TheMcGraw-HillCompanies,Inc.,2001©TheMcGraw-HillCompanies,Inc.,200112-2Irwin/McGraw-HillTopicsCoveredInvestmentDecisionvs.FinancingDecisionMarketEfficiencyWeakformefficiencySemi-strongformefficiencyStrongformefficiencyLessonsofMarketEfficiency©TheMcGraw-HillCompanies,Inc.,200112-3Irwin/McGraw-HillInvestmentvs.FinancingInvestmentdecisionaremadebasedontheriskoftheproject,withtotaldisregardforhowtheprojectwillbefinanced(flotationcostsbeingtheexception).Financingdecisionsaremadebasedontheconditionsinthecapitalmarkets,withlittleconsiderationfortheinvestmentbeingmade(projectspecificfundingbeingtheexception.IRBsareagoodexample).©TheMcGraw-HillCompanies,Inc.,200112-4Irwin/McGraw-HillMarketEfficiencyTheoryCapitalmarketsreflectallrelevantinformation.Youcannotconsistentlyearnexcessprofits.MarketEfficiency©TheMcGraw-HillCompanies,Inc.,200112-5Irwin/McGraw-HillMarketEfficiencyEfficientCapitalMarkets-Financialmarketsinwhichsecuritypricesrapidlyreflectallrelevantinformationaboutassetvalues.RandomWalk-Securitypriceschangerandomly,withnopredictabletrendsorpatterns.©TheMcGraw-HillCompanies,Inc.,200112-6Irwin/McGraw-HillRandomWalkTheoryThemovementofstockpricesfromdaytodayDONOTreflectanypattern.Statisticallyspeaking,themovementofstockpricesisrandom(skewedpositiveoverthelongterm).©TheMcGraw-HillCompanies,Inc.,200112-7Irwin/McGraw-HillRandomWalkTheory$103.00$100.00$106.09$100.43$97.50$100.43$95.06CoinTossGameHeadsHeadsHeadsTailsTailsTails©TheMcGraw-HillCompanies,Inc.,200112-8Irwin/McGraw-HillRandomWalkTheoryS&P500FiveYearTrend?or5yrsoftheCoinTossGame?80130180MonthLevel©TheMcGraw-HillCompanies,Inc.,200112-9Irwin/McGraw-HillRandomWalkTheoryS&P500FiveYearTrend?or5yrsoftheCoinTossGame?80130180230MonthLevel©TheMcGraw-HillCompanies,Inc.,200112-10Irwin/McGraw-HillMarketEfficiencyTechnicalAnalysts-Investorswhoattempttoidentifyover-orundervaluedstocksbysearchingforpatternsinpastprices.FundamentalAnalysts-Analystswhoattempttofundunder-orovervaluedsecuritiesbyanalyzingfundamentalinformation,suchasearnings,assetvalues,andbusinessprospects.©TheMcGraw-HillCompanies,Inc.,200112-11Irwin/McGraw-HillEfficientMarketTheoryLastMonthThisMonthNextMonth$907050EI’sStockPriceCyclesdisappearonceidentified©TheMcGraw-HillCompanies,Inc.,200112-12Irwin/McGraw-HillMarketEfficiencyWeakFormEfficiency-Marketpricesrapidlyreflectallinformationcontainedinthehistoryofpastprices.Semi-StrongFormEfficiency-Marketpricesreflectallpubliclyavailableinformation.StrongFormEfficiency-Marketpricesreflectallinformationthatcouldinprinciplebeusedtodeterminetruevalue.©TheMcGraw-HillCompanies,Inc.,200112-13Irwin/McGraw-HillEfficientMarketTheory-16-11-6-149141924293439DaysRelativetoannoncementdateCumulativeAbnormalReturn(%)AnnouncementDate©TheMcGraw-HillCompanies,Inc.,200112-14Irwin/McGraw-HillMarketEfficiency0510152025Averagereturn,percentHighestLowestBook-MarketRatioFama&FrenchReturnvs.Book-Market©TheMcGraw-HillCompanies,Inc.,200112-15Irwin/McGraw-HillLessonsofMarketEfficiencyMarketshavenomemoryTrustmarketpricesTherearenofinancialillusionsDoityourselfdiversificationSeenonestock,seenthemallReadingtheentrails