公司财务的经验主义(PPT113)(1).pptx
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公司财务的经验主义(PPT113)(1).pptx
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EmpiricalCorporateFinance,PreparedbyXueShuang(薛爽)ZhuKai(朱凯),Grade,Classparticipation(20%)Proposal(30%)FinalExamination(50%),RequirementforParticipation,OrdinaryparticipationPresentationfortheselectedpapersCapitalStructure(3topics)IPO(1topics)SEO(1topics)Dividends(1topics)Takeover(1topics),SheridanTitman;RobertoWessels,TheDeterminantsofCapitalStructureChoice,TheJournalofFinanceVol.43,No.1(Mar.,1988),pp.1-19OwenLamont,CashFlowandInvestment:
EvidencefromInternalCapitalMarkets,TheJournalofFinance,Vol.52,No.1(Mar.,1997),pp.83-109TimLoughran;JayR.Ritter,TheNewIssuesPuzzle,TheJournalofFinance,Vol.50,No.1(Mar.,1995),pp.23-51.RoniMichaely;WayneH.Shaw,ThePricingofInitialPublicOfferings:
TestsofAdverse-SelectionandSignalingTheories,TheReviewofFinancialStudies,Vol.7,No.2(Summer,1994),pp.279-319ShlomoBenartzi.et.,1997Dochangesindividendssignalthefutureorthepast.TheJournalofFinance,vol52.Healy,Paul,1992,Doescorporateperformanceimproveaftermergers?
JFE31,135-175.,RequirementforProposal,DatabaseMainfindingsProcedureofprogramming(SASisprefered),References,Main:
AdvancedCorporateFinanceOther:
EmpiricalCorporateFinance(VolI-IV)HandbookofEconomicsofFinance,1(A+B)Copeland,Weston,Shastri,FinancialTheoryandCorporatePolicy,JournalsinFinance,TopsJournalofFinance(Jstor)JournalofFinancialEconomicsReviewofFinancialStudies(Jstor)BJournalsJournalofCorporateFinanceJournalofFinancialResearchFinancialManagementJournalofQuantitativeandFinancialAnalysis(Jstor)JournalofBankingandFinance,RelatedJournals,AmericanEconomicReview(Jstor)QuarterlyJournalofEconomics(Jstor)JournalofLawandEconomicsJournalofBusiness(Jstor),WorkingPapersonNET,JournalsinChinese,Thereisnofact,Butinterpretation,AnExample,抗日战争期间国民党军队弹药消耗统计(歼灭日军100万),百团大战期间八路军弹药消耗与歼灭敌军统计,共毙伤日伪军25799人(其中日军20636人)。
共消耗子弹401370发,各种炮弹19130发,手榴弹126602发。
平均每27.19发子弹毙伤一个日伪军,车桥战役期间新四军弹药消耗与歼灭敌军统计,毙伤俘日军465人,伪军483人,总计为948人。
消耗子弹共9993发,手榴弹2144发。
平均每13.2发子弹毙伤一个敌人,每21.5发子弹消灭一个日军。
晋察冀边区抗战七周年统计,作战次数达22554次,毙伤敌伪军214027名,俘虏敌军560名,俘虏伪军40147名,反正的伪军18294名。
消耗的炮弹6549发,掷弹21265发,手榴弹322691发,子弹7501750发。
晋察冀根据地军民七年来每毙伤一名敌伪军耗弹35发,每毙伤俘一名日伪军耗弹27.48发。
结论,共军每2050发子弹毙伤一个敌人的结论是可信的。
有较大的可信度的,符合战场上的实际情况。
国民党部队的作战效率远低于共产党部队,如果国民党更慷慨地提供共产党弹药的话,抗日战争的胜利会来得更大。
FinancialDecisionsinDifferentInstitutions,USAandChina,NumberofUSNonfinancialFirms1980-2000,TheEvolutionofUSFirms,Publiclytradedfirmsincreasedfrom3,561in1980to6,146in2000Onlyaboutone-thirdofthe3,561firmsremainedalivein2000Atotalof7,355firmsIPOedduringthisperiodWhathappenedtotheotherfirms?
M&A(3,796firms)Bankruptcy(639)Buyouts,privatized(335),TheEvolutionofChineseFirms,AlthoughIdonthavethedataathand,thefollowingisprobablytrue:
NoeffectiveandtimelyexitforChinesefirmsNocorporatecontrolmarketAsaresult,manypoorlymanagedfirmsinChinaMoreevidencelater,OwnershipStructure,1999,OwnershipinChina,OwnershipComparison,OwnershipstructureintheUSisnotasdisperseasitiswidelybelievedOnaverage,insidersofnon-S&Pfirmsowned48.2%ofequity!
EvenforS&P500firms,averageinsiderownershipis21%!
AlthoughownershipinChinaismoreconcentrated,themoreimportantdistinctionprobablyliesinthenatureofownership!
(Privatevs.State),CFOsViewsonCapitalStructure,PercentageAssetComponents,PercentageAssetComponents,DifferencesinAssetStructure,ChinesefirmshaveMuchlowerintangiblesHighercash,inventory,andfixedassetsSimilarA/Rs!
Why?
Accountingstandards?
Lackofpropertyrightsprotection?
Mis-management?
Internalcapitalmarketsmoreimportant?
Misclassifications?
PercentageLiabilitiesandEquityComponents,PercentageLiabilities&EquityComponents,DifferencesinCapitalStructure,ChinesefirmshaveHigherequityMuchlower“Othernoncurrentliabilities”SimilardebtandcurrentliabilitiesWhy?
Stateownershipishigh.Butaretheyequityordebt?
EquityischeaperinChina?
Nopensionliabilities!
SourcesofFunds,SourcesofFunds,DifferencesinFundSources,USNetcashflowsfromoperationsSalesofinvestments(bothequityanddebt)Proceedsfromlong-termdebtissuanceIncreasesinotherlong-termdebtandcurrentdebtStockissuanceSalesofPP&E,ChinaIncreasesinlong-termandcurrentdebt(bankborrowings)NetcashflowsfromoperationsSalesofinvestmentsStockissuanceSalesofPP&E,CFOsViewonInvestmentDecisions(US),InvestmentandPerformance,UsesofFunds,UsesofFunds,DifferencesinFundUses,USIncreasesininvestmentsCapitalExpenditureReductionsinlong-termdebtCashdividendsandstockrepurchasesAcquisitions,ChinaReductionsindebtCapitalexpenditureIncreasesininvestmentsCashdividendsAcquisitions,USCompositeMarket-to-bookRatios,ChineseCompositeMarket-to-bookRatios,AppropriatePricesofNon-tradableStateShares?
USmarket-to-bookisaround3Surprisingly,ifwepricethenon-tradablesharesatthemarketlevel,theM/Bratioisalsocloseto3inChina!
M/Bisaround1.5ifwepricethenon-tradablesharesattheirbookvalueQuestionsArethebookvaluesequallyaccurate?
Comparableagesofthefirms?
Industrydifferences?
ROEandP/ERatios,ROE,P/ERatios,DividendPayoutandDividendYields,DividendPayoutRatios,DividendYieldinChina,Chapter2,ValuationandFinancingDecisionsinanIdealCapitalMarket,LearningObjective,ValuationModelsinIdealCapitalMarket.MMTheorem(1958)-CapitalStructureIrrelevanceandDeterminantsofCostofEquityPortfolioTheoryandCAPMOptionPricingModels,NoblePrizeWinners,Portfoliotheory,Markowitz,(1953;1990NoblePrizewinner)MMoncapitalstructure,(1958,1961;19851996NoblePrizewinner),ASSUMPTIONS,CapitalmarketarefrictionlessAllparticipantssharesameexpectationsAllparticipantsareatomisticThefirmsinvestmentprogramisfixedandknowThefirmsfinancingisfixed,Whydowecaretheunrealistic(ideal)capitalmarket?
Ofcourse,itisneverclaimedthattherealworldfollowstheseassumptions.Whatishopedisthatbymodelingtheuniverseofthefirmsinsuchaway,andbyrelaxingtheassumptionsonebyone,itispossibletoidentifyanddiscusstheweightorrelevanceofeachofthedifferentfactorsinthesearchfortheoptimalfinancialdecisions.,WhyWeCareaboutCapitalStructure?
Thevalueofprojectisdeterminedbythecashflowandtheintertemporalcostofmoneyavailablefortheproject.Costofmoneyisanopportunitycost.Differenttypeofmoneymaybehavedifferentopportunitycost.Doesmixtureofdifferentsourceofmoneyhaveadditionalvalueforoptimizationofinvestment?
SourceofMoney,Internalvs.ExternalDebtvs.Equity,ClassicalCapitalStructurePerspectives,Durant(1952)summarizedcurrentperspectivesoncapitalstructure:
NetProfitApproachOperatingProfitApproachTrade-offApproach,NetProfitApproach,Netprofitbelongstoshareholders,andthemorenetprofit,themorewealthofshareholders.Sooptimalstructureistomaximizethenetprofit.,B/S,100,Ke,Kb,Kw,OperatingProfitApproach,Firmvalueisdeterminedbytheabilityofvaluecreationofassetandcapitalstructureisonlytodistributetheoperatingprofit.Sothereisirrelevancebetweencapitalstructureandfirmvalue,Kb,Ke,Kw,B/S,Trade-offApproach,Astheincreasingofdebt,thecostofequityincrease,butthemarginaleffectofdebtmattermoreandcostofcapitaldecrease.Abovetheoptimalpoint,themarginaleffectofcostofequitymattermoreandcostofcapitalincrease.,Kw,Kb,Ke,B/S,B/S*,PreliminaryRemarks,Thereareideas,noformalanalysisandnottested.,DevelopmentofCapitalStructureTheory,MM(1958):
IrrelevanceModelMM(1963):
RelevanceModelMiller(1977):
Personalvs.CorporateTax,MMTheorem(1958),MMPropositionI:
Themarketvalueofafirmisconstantregardlessoftheamountofleverage(i.e.,debtrelativetoequity)thatthefirmusestofinanceitsassets,IrrelevanceStatement,ASSUMPTIONSameclassofrisk;CompleteandPerfectMarket;Notax;AbsenceofArbitrage;,FirmValue,Forunleveragedfirm:
Forleveragedfirm:
ArbitrageAnalysis,IfIfyouareinvestorsonleveragefirmandholdafractionofitsexistingshares,anditsvalueis.Howwillyoudo?
ArbitrageAnalysis(cond),Borrowattherisk-freeinterestrateBuyoftheexistingequityatcostofSellIsthereanyarbitrageprofit?
EXAMPLE,套利过程,作为一位理性的投资者,目前持有L公司1%的股票,市场价值为400元。
将会怎样进行套利呢?
出售L公司股票,获得400元现金;按照12%的利率借款300元;购买NL公司股票,支付666.67元,其余33.33元用于其他投资(或者消费以增加效用);,套利前后的收益,4.套利之前,持有L公司股票的收益为400*16%=64元5.套利之后,从NL公司获得的收益为666.67*15%=100元,扣除借款所需要支付的利息费用36元,净收益为64元。
套利的结果:
NL公司股票价格上升;而L公司股票价格下降,两公司的价值相同。
CostofCapital,Costoffirmorproject(WACC),MMTheorem(1958),MMPropositionII:
Theexpectedreturnonafirmsequityisanincreasingfunctionofthefirmsleverage.,AnalysisofMMPropositionII,Isittrue?
IfWACCisconstantandWACCisgreatthancostofdebt,MMPropositionIIiscorrect.,FormalAnalysis,Risk-neutralInvestors,Ifinvestorsareriskneutral,thatis,theydonotdemandapremiumforriskofthefirmsassets,thenTheriskofbothdebtandequityarefunctionofriskoffirmsassets,ItisinconsistentwithMMPropositionII,RiskPremiumandrisk-freedebt,Expectedreturnonassets()containsariskpremium,andexpectedreturnonequityalsohasariskpremiumDebtisriskfreeConsistentwithMMpropositionII,RiskPremiumandrisk-freedebt,Assumption1InvestorsdemandapremiumforfirmsriskisincreasedfunctionoffirmsleverageMMpropositionIImaybenothold,Conclusions,ThepresentmodelstructureisinsufficienttoprovethatMMPropositionIIistrue.However,weneedtoknowthenatureoffirmsriskandthatofitsdebtandequity,aswellasthemarketsrequiredreturnforriskinformofapremium.Changeinleveragesimplyinvolveredistributionofthefirmstotalriskamongtheclaimants.,MMunderIncomeTax(1963),Assumption,Definitionofriskclass,EffectofIncomeTax,EffectofIncomeTaxonvalueofSecurities,WithoutLeverage,EffectofInco
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