公司理財(cái)教師手冊(cè)、英文答案課件chap

1、Corporate Financing Decisions and Efficient Capital MarketsKey Concepts and SkillsUnderstand the importance of capital market efficiencyBe able to define the forms of efficiencyKnow the various empirical tests of market efficiencyUnderstand the implications of efficiency for corporate finance manage

2、rsChapter 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 The Behavioral Challenge to Market Efficiency13.6 Empirical Challenges to Market Efficiency13.7 Reviewing the Differences13.8 Implicat

3、ions for Corporate Finance13.1 Can Financing Decisions Create Value?Earlier parts of the book show how to evaluate investment projects according to the NPV criterion.The next few chapters concern financing decisions, such as:How much debt and equity to sellWhen to sell debt and equityWhen (or if) to

4、 pay dividendsWe can use NPV to evaluate financing decisions.Creating Value through FinancingFool InvestorsEmpirical evidence suggests that it is hard to fool investors consistently.Reduce Costs or Increase SubsidiesCertain forms of financing have tax advantages or carry other subsidies.Create a New

5、 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.13.2 A Description of Efficient Capital MarketsAn efficient capital market is one in which stock prices fully reflect available

6、 information.The EMH has implications for investors and firms.Since information is reflected in security prices quickly, knowing information when it is released does an investor little good.Firms should expect to receive the fair value for securities that they sell. Firms cannot profit from fooling

7、investors in an efficient market.Foundations of Market EfficiencyInvestor RationalityIndependence of eventsArbitrageStock Price ReactionsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcementEfficient market response to “good news”O(jiān)verreaction to “good news” with reversionDelayed

8、response to “good news”Stock Price ReactionsStock Price-30-20-10 0+10+20+30Days before (-) and after (+) announcementEfficient market 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 al

9、l historical information. Semistrong FormSecurity prices reflect all publicly available information.Strong FormSecurity 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 effic

10、iency holds, then technical analysis is of no value.Since 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 associate

11、d with stock price patterns.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.SellSellBuyBuySemistrong Form Market EfficiencySecurity prices reflect all publicly available information.Publi

12、cly available information includes:Historical price and volume informationPublished accounting statements Information found in annual reportsStrong Form Market EfficiencySecurity prices reflect all informationpublic and private.Strong form efficiency incorporates weak and semistrong form efficiency.

13、Strong form efficiency says that anything pertinent to the stock and known to at least one investor is already incorporated into the securitys price.Information SetsAll informationrelevant to a stockInformation setof publicly availableinformationInformationset ofpast pricesWhat the EMH Does and Does

14、 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 based on risk aversion and expected return.Prices are random or uncaused.Prices reflect information. The price CHANGE is driven by new information, whic

15、h by definition arrives randomly. Therefore, financial managers cannot “time” stock and bond sales.13.4 The EvidenceThe record on the EMH 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 pric

16、es random? Are there profitable “trading rules?”Event studies: does the market quickly and accurately respond to new information?The record of professionally managed investment firms.Are Changes in Stock Prices Random?Can we really tell?Many psychologists and statisticians believe that most people w

17、ant to see patterns even when faced with pure randomness.People claiming to see patterns in stock price movements are probably seeing optical 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 for

18、m efficiency.What Pattern Do You See?Event StudiesEvent Studies are one type of test of the semistrong form of market efficiency.Recall, this form of the EMH implies that prices should reflect all publicly available information. To test this, event studies examine prices and returns over timeparticu

19、larly around the arrival of new information.Test for evidence of underreaction, overreaction, early reaction, or delayed reaction around the event.Event StudiesReturns are adjusted to determine if they are abnormal by taking into account what the rest of the market did that day.The Abnormal Return o

20、n 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 using the Market Model approach:AR= R (a + bRM)Event Studies: Dividend OmissionsEfficient m

21、arket response to “bad news”Event Study ResultsOver the years, event 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 sem

22、istrong form efficient.Studies suggest that markets may even have some foresight into the future, i.e., news tends to leak out in advance of public announcements.The Record of Mutual FundsIf the market is semistrong form efficient, then no matter what publicly available information mutual fund manag

23、ers 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 performance of a market index.The Record of Mutual FundsTaken from Lubos

24、Pastor and Robert F. Stambaugh, “Mutual Fund Performance and Seemingly Unrelated Assets,” Journal of Financial Exonomics, 63 (2002).The Strong Form of the EMHOne group of studies of strong form market efficiency investigates insider trading.A number of studies support the view that insider trading i

25、s abnormally profitable.Thus, strong form efficiency does not seem to be substantiated by the evidence.RationalityPeople are not always rational.Many investors fail to diversify, trade too much, and seem to try to maximize taxes by selling winners and holding losers.13.5 The Behavioral ChallengeInde

26、pendent Deviations from RationalityPsychologists argue that people deviate from rationality in predictable ways:Representativeness: drawing conclusions from too little dataThis can lead to bubbles in security prices.Conservativism: people are too slow in adjusting their beliefs to new information.Se

27、curity prices seem to respond too slowly to earnings surprises.The Behavioral ChallengeArbitrageSuppose that your superior, rational, analysis shows that company ABC is overpriced.Arbitrage would suggest that you should short the shares.After the rest of the investors come to their senses, you make

28、money because you were smart enough to “sell high and buy low.”But what if the rest of the investment community does not come to their senses in time for you to cover your short position?This makes arbitrage risky.The Behavioral ChallengeLimits to Arbitrage“Markets can stay irrational longer than yo

29、u can stay insolvent.” John Maynard KeynesEarnings Surprises Stock prices adjust slowly to earnings announcements.Behavioralists claim that investors exhibit conservatism.SizeSmall cap stocks seem to outperform large cap stocks.Value versus GrowthHigh book value-to-stock price stocks and/or high E/P

30、 stocks outperform growth stocks.13.6 Empirical ChallengesCrashesOn October 19, 1987, the stock market dropped between 20 and 25 percent on a Monday following a weekend during which little surprising news was released.A drop of this magnitude for no apparent reason is inconsistent with market effici

31、ency.BubblesConsider the tech stock bubble of the late 1990s.Empirical Challenges13.7 Reviewing the DifferencesFinancial Economists have sorted themselves into three camps:Market efficiencyBehavioral financeThose that admit that they do not knowThis is perhaps the most contentious area in the field.

32、13.8 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 value for securities that they sell.Fair means that the price they receive for th