公司理财13公司融资决策和有效资本市场市场

1CorporateFinance第13章公司融资决策和有效资本市场13.1融资决策能增加价值吗13.2有效资本市场的描述13.3有效资本市场的类型13.4实证研究的证据13.5资本市场效率理论对公司理财的含义13.6小结2CorporateFinance13.1融资决策能增加价值吗CanFinancingDecisionsCreateValue?前面的几章阐述了如何根据净现值原则评价投资项目（资产负债表的左方）。EarlierpartsofthebookshowhowtoevaluateinvestmentprojectsaccordingtheNPVcriterion.下面几章探讨融资决策（资产负债表的右方）Thenextfivechaptersconcernfinancingdecisions.3CorporateFinanceWhatSortofFinancingDecisions?典型的融资决策包括Typicalfinancingdecisionsinclude:出售债务和股权的价值Howmuchdebtandequitytosell何时（是否）发放股利When(orif)topaydividends何时出售债务和股权Whentoselldebtandequity正如在资本预算中使用净现值准则评价投资项目，我们使用NPV来评价融资决策。JustaswecanuseNPVcriteriatoevaluateinvestmentdecisions,wecanuseNPVtoevaluatefinancingdecisions.4CorporateFinance如何通过融资创造价值HowtoCreateValuethroughFinancing1.愚弄投资者FoolInvestors如通过发行认股权证等复杂证券进行融资，诱导投资者对于复杂证券过于乐观，从而使公司获得的价值超过其真实价值。实证研究认为一直愚弄消费者是艰难的。Empiricalevidencesuggeststhatitishardtofoolinvestorsconsistently.5CorporateFinance6CorporateFinance7CorporateFinance13.2有效资本市场的描述ADescriptionofEfficientCapitalMarkets有效资本市场是指资产的现有市场价格能够充分反映所有有关可用信息的资本市场。Anefficientcapitalmarketisoneinwhichstockpricesfullyreflectavailableinformation.8CorporateFinance9CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30-20-100+10+20+30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“goodnews”Overreactionto“goodnews”withreversionDelayedresponseto“goodnews”10CorporateFinanceReactionofStockPricetoNewInformationinEfficientandInefficientMarketsStockPrice-30-20-100+10+20+30Daysbefore(-)andafter(+)announcementEfficientmarketresponseto“badnews”Overreactionto“badnews”withreversionDelayedresponseto“badnews”11CorporateFinance13.3有效资本市场的类型TheDifferentTypesofEfficiency弱型有效市场WeakFormSecuritypricesreflectallinformationfoundinpastpricesandvolume.半强型有效市场Semi-StrongFormSecuritypricesreflectallpubliclyavailableinformation.强型有效市场StrongFormSecuritypricesreflectallinformation—publicandprivate.12CorporateFinance13.3.1弱型有效市场WeakFormMarketEfficiencySecuritypricesreflectallinformationfoundinpastpricesandvolume.Iftheweakformofmarketefficiencyholds,thentechnicalanalysisisofnovalue.Oftenweak-formefficiencyisrepresentedasPt=Pt-1+Expectedreturn+randomerrortSincestockpricesonlyrespondtonewinformation,whichbydefinitionarrivesrandomly,stockpricesaresaidtofollowarandomwalk.13CorporateFinance为什么技术分析失效WhyTechnicalAnalysisFailsStockPriceTimeInvestorbehaviortendstoeliminateanyprofitopportunityassociatedwithstockpricepatterns.Ifitwerepossibletomakebigmoneysimplybyfinding“thepattern”inthestockpricemovements,everyonewoulddoitandtheprofitswouldbecompetedaway.SellSellBuyBuy14CorporateFinance13.3.2半强型有效市场Semi-StrongFormMarketEfficiencySecurityPricesreflectallpubliclyavailableinformation.Publiclyavailableinformationincludes:HistoricalpriceandvolumeinformationPublishedaccountingstatements.Informationfoundinannualreports.15CorporateFinance13.3.3强型有效市场StrongFormMarketEfficiencySecurityPricesreflectallinformation—publicandprivate.Strongformefficiencyincorporatesweakandsemi-strongformefficiency.Strongformefficiencysaysthatanythingpertinent（相关的）tothestockandknowntoatleastoneinvestorisalreadyincorporatedintothesecurity’sprice.16CorporateFinanceRelationshipamongThreeDifferentInformationSetsAllinformationrelevanttoastockInformationsetofpubliclyavailableinformationInformationsetofpastprices17CorporateFinance13.3.4对有效市场假说的一些误解SomeCommonMisconceptionsMuchofthecriticismoftheEMHhasbeenbasedonamisunderstandingofthehypothesissaysanddoesnotsay.18CorporateFinanceWhattheEMHDoesandDoesNOTSayInvestorscanthrowdarts(飞镖)toselectstocks.Thisisalmost,butnotquite,true.Aninvestormuststilldecidehowriskyaportfoliohewantsbasedonriskaversion（厌恶）andthelevelofexpectedreturn.Pricesarerandomoruncaused.Pricesreflectinformation.ThepriceCHANGEisdrivenbynewinformation,whichbydefinitionarrivesrandomly.Therefore,financialmanagerscannot“time”stockandbondsales.19CorporateFinance13.4实证研究的证据TheEvidence有效市场假设的研究记录相当广泛，而且大量的计量研究结果都支持市场效率理论。TherecordontheEMHisextensive,andinlargemeasureitisreassuringtoadvocatesoftheefficiencyofmarkets.实证研究分为三类Studiesfallintothreebroadcategories:1.股价变动是随机的吗？Arechangesinstockpricesrandom?Arethereprofitable“tradingrules”?2.事件研究：Eventstudies:doesthemarketquicklyandaccuratelyrespondtonewinformation?3.专业投资公司的记录Therecordofprofessionallymanagedinvestmentfirms.20CorporateFinanceAreChangesinStockPricesRandom?Canwereallytell?心理学家和统计学家认为，大多数人面临纯随机波动时相想找出图形规律Manypsychologistsandstatisticiansbelievethatmostpeoplewanttoseepatternsevenwhenfacedwithpurerandomness.强调看出股票价格数据具有某种规律的人们可能是由于眼力错觉引起的。Peopleclaimingtoseepatternsinstockpricemovementsareprobablyseeingopticalillusions.21CorporateFinance22CorporateFinanceWhatPatternDoYouSee?RandomlySelectedNumbers00.10.20.30.40.50.60.70.80.9112345678910111213141516171819202122232425Double-clickonthisExcelcharttoseeadifferentrandomseries.Withdifferentpatterns,youmaybelievethatyoucanpredictthenextvalueintheseries—eventhoughyouknowitisrandom.23CorporateFinanceEventStudies:HowTestsAreStructuredEventStudiesareo