公司財(cái)務(wù)的經(jīng)驗(yàn)主義（PPT113）(1)

1、Empirical Corporate FinancePrepared by Xue Shuang （薛爽）Zhu Kai（朱凱）1Grade Class participation (20%)Proposal (30%)Final Examination (50%)2Requirement for ParticipationOrdinary participationPresentation for the selected papersCapital Structure (3 topics)IPO (1 topics)SEO (1 topics)Dividends (1 topics)Ta

2、keover (1 topics)3Sheridan Titman; Roberto Wessels, The Determinants of Capital Structure Choice, The Journal of Finance Vol. 43, No. 1 (Mar., 1988), pp. 1-19 Owen Lamont, Cash Flow and Investment: Evidence from Internal Capital Markets, The Journal of Finance ,Vol. 52, No. 1 (Mar., 1997), pp. 83-10

3、9 Tim Loughran; Jay R. Ritter, The New Issues Puzzle, The Journal of Finance, Vol. 50, No. 1 (Mar., 1995), pp. 23-51. Roni Michaely; Wayne H. Shaw, The Pricing of Initial Public Offerings: Tests of Adverse-Selection and Signaling Theories, The Review of Financial Studies, Vol. 7, No. 2 (Summer, 1994

4、), pp. 279-319 Shlomo Benartzi. et., 1997 Do changes in dividends signal the future or the past. The Journal of Finance,vol52. Healy, Paul,1992,Does corporate performance improve after mergers? JFE 31,135-175. 4Requirement for ProposalDatabaseMain findings Procedure of programming (SAS is prefered)5

5、ReferencesMain: Advanced Corporate FinanceOther:Empirical Corporate Finance(Vol I-IV)Handbook of Economics of Finance, 1(A+B)Copeland,Weston, Shastri, Financial Theory and Corporate Policy6Journals in FinanceTopsJournal of Finance (Jstor)Journal of Financial EconomicsReview of Financial Studies (Jst

6、or)B JournalsJournal of Corporate FinanceJournal of Financial ResearchFinancial ManagementJournal of Quantitative and Financial Analysis (Jstor)Journal of Banking and Finance7Related JournalsAmerican Economic Review (Jstor)Quarterly Journal of Economics (Jstor)Journal of Law and EconomicsJournal of

7、Business (Jstor)8Working Papers on NET9Journals in Chinese經(jīng)濟(jì)研究經(jīng)濟(jì)學(xué)季刊金融研究會(huì)計(jì)研究中國(guó)會(huì)計(jì)與財(cái)務(wù)研究（CAFR）中國(guó)會(huì)計(jì)評(píng)論上證研究深圳交易所研究報(bào)告（ ）10 There is no fact, But interpretation11An Example12抗日戰(zhàn)爭(zhēng)期間國(guó)民黨軍隊(duì)彈藥消耗統(tǒng)計(jì)（殲滅日軍100萬）13百團(tuán)大戰(zhàn)期間八路軍彈藥消耗與殲滅敵軍統(tǒng)計(jì)共斃傷日偽軍25799人（其中日軍20636人）。共消耗子彈401370發(fā)，各種炮彈19130發(fā)，手榴彈126602發(fā)。平均每27.19發(fā)子彈斃傷一個(gè)日偽軍14車橋戰(zhàn)役期間

8、新四軍彈藥消耗與殲滅敵軍統(tǒng)計(jì)斃傷俘日軍465人，偽軍483人，總計(jì)為948人。消耗子彈共9993發(fā)，手榴彈2144發(fā)。平均每13.2發(fā)子彈斃傷一個(gè)敵人，每21.5發(fā)子彈消滅一個(gè)日軍。15晉察冀邊區(qū)抗戰(zhàn)七周年統(tǒng)計(jì)作戰(zhàn)次數(shù)達(dá)22554次，斃傷敵偽軍214027名，俘虜敵軍560名，俘虜偽軍40147名，反正的偽軍18294名。消耗的炮彈6549發(fā)，擲彈21265發(fā)，手榴彈322691發(fā)，子彈7501750發(fā)。晉察冀根據(jù)地軍民七年來每斃傷一名敵偽軍耗彈35發(fā)，每斃傷俘一名日偽軍耗彈27.48發(fā)。16結(jié)論共軍每2050發(fā)子彈斃傷一個(gè)敵人的結(jié)論是可信的。有較大的可信度的，符合戰(zhàn)場(chǎng)上的實(shí)際情況。國(guó)民黨部隊(duì)

9、的作戰(zhàn)效率遠(yuǎn)低于共產(chǎn)黨部隊(duì)，如果國(guó)民黨更慷慨地提供共產(chǎn)黨彈藥的話，抗日戰(zhàn)爭(zhēng)的勝利會(huì)來得更大。1718Financial Decisions in Different InstitutionsUSA and China19Number of US Nonfinancial Firms 1980-200020The Evolution of US FirmsPublicly traded firms increased from 3,561 in 1980 to 6,146 in 2000Only about one-third of the 3,561 firms remained alive

10、in 2000A total of 7,355 firms IPOed during this periodWhat happened to the other firms?M & A (3,796 firms)Bankruptcy (639)Buyouts, privatized (335)21The Evolution of Chinese FirmsAlthough I dont have the data at hand, the following is probably true:No effective and timely exit for Chinese firmsNo co

11、rporate control marketAs a result, many poorly managed firms in ChinaMore evidence later22Ownership Structure, 199923Ownership in China24Ownership ComparisonOwnership structure in the US is not as disperse as it is widely believedOn average, insiders of non-S&P firms owned 48.2% of equity!Even for S

12、&P 500 firms, average insider ownership is 21%!Although ownership in China is more concentrated, the more important distinction probably lies in the nature of ownership! (Private vs. State)25CFOs Views on Capital Structure26Percentage Asset Components27Percentage Asset Components28Differences in Ass

13、et StructureChinese firms haveMuch lower intangiblesHigher cash, inventory, and fixed assetsSimilar A/Rs!Why?Accounting standards?Lack of property rights protection?Mis-management?Internal capital markets more important?Misclassifications?29Percentage Liabilities and Equity Components30Percentage Li

14、abilities & Equity Components31Differences in Capital StructureChinese firms haveHigher equityMuch lower “Other noncurrent liabilities”Similar debt and current liabilitiesWhy?State ownership is high. But are they equity or debt? Equity is cheaper in China?No pension liabilities!32Sources of Funds33S

15、ources of Funds34Differences in Fund SourcesUSNet cash flows from operationsSales of investments (both equity and debt)Proceeds from long-term debt issuanceIncreases in other long-term debt and current debtStock issuanceSales of PP&EChinaIncreases in long-term and current debt (bank borrowings)Net c

16、ash flows from operationsSales of investments Stock issuanceSales of PP&E35CFOs View on Investment Decisions (US)36Investment and Performance19801990GMIBMXeroxKodakGEAT&TR&D39.836.87.110.211.819.4CAPX826410162291NET INV2325.51.56.78.333.4Gro INV62.862.38.616.820.252.8Value at End20.864.63.213.550.13

17、2.9VAD(I)-109-73-21-273-67VAD(II)-94.4-35-15-1915-28.4VAD(III)-91.4-25.3-16.6-1324-4537Uses of Funds38Uses of Funds39Differences in Fund UsesUSIncreases in investmentsCapital ExpenditureReductions in long-term debtCash dividends and stock repurchasesAcquisitionsChinaReductions in debtCapital expendi

18、tureIncreases in investmentsCash dividendsAcquisitions40US Composite Market-to-book Ratios41Chinese Composite Market-to-book Ratios42Appropriate Prices of Non-tradable State Shares?US market-to-book is around 3Surprisingly, if we price the non-tradable shares at the market level, the M/B ratio is al

19、so close to 3 in China!M/B is around 1.5 if we price the non-tradable shares at their book valueQuestionsAre the book values equally accurate?Comparable ages of the firms?Industry differences?43ROE and P/E Ratios44ROE45P/E Ratios46Dividend Payout and Dividend Yields47Dividend Payout Ratios48Dividend

20、 Yield in China49Chapter 2 Valuation and Financing Decisions in an Ideal Capital Market50Learning ObjectiveValuation Models in Ideal Capital Market.MM Theorem(1958)-Capital Structure Irrelevance and Determinants of Cost of EquityPortfolio Theory and CAPMOption Pricing Models51Noble Prize WinnersPort

21、folio theory, Markowitz,(1953; 1990 Noble Prize winner)MM on capital structure, (1958,1961; 1985&1990 Noble Prize winner)CAPM, Sharpe,(1964; 1990 Noble Prize winner)Option Pricing Theory, Black-Scholes-Merton,(1973; 1996 Noble Prize winner)52ASSUMPTIONSCapital market are frictionlessAll participants

22、 share same expectationsAll participants are atomisticThe firms investment program is fixed and knowThe firms financing is fixed53Why do we care the unrealistic (ideal) capital market? Of course, it is never claimed that the real world follows these assumptions. What is hoped is that by modeling the

23、 universe of the firms in such a way, and by relaxing the assumptions one by one, it is possible to identify and discuss the weight or relevance of each of the different factors in the search for the optimal financial decisions.54Why We Care about Capital Structure?The value of project is determined

24、 by the cash flow and the intertemporal cost of money available for the project.Cost of money is an opportunity cost.Different type of money maybe have different opportunity cost.Does mixture of different source of money have additional value for optimization of investment?55Source of MoneyInternal

25、vs. ExternalDebt vs. Equity56Classical Capital Structure PerspectivesDurant(1952) summarized current perspectives on capital structure:Net Profit ApproachOperating Profit ApproachTrade-off Approach57Net Profit ApproachNet profit belongs to shareholders, and the more net profit, the more wealth of sh

26、areholders. So optimal structure is to maximize the net profit.B/S100KeKbKw58Operating Profit ApproachFirm value is determined by the ability of value creation of asset and capital structure is only to distribute the operating profit. So there is irrelevance between capital structure and firm valueK

27、bKeKwB/S59Trade-off ApproachAs the increasing of debt, the cost of equity increase, but the marginal effect of debt matter more and cost of capital decrease. Above the optimal point, the marginal effect of cost of equity matter more and cost of capital increase.KwKbKeB/SB/S*60Preliminary RemarksTher

28、e are ideas, no formal analysis and not tested.61Development of Capital Structure TheoryMM(1958): Irrelevance ModelMM(1963): Relevance ModelMiller(1977): Personal vs. Corporate Tax62MM Theorem (1958)MM Proposition I:The market value of a firm is constant regardless of the amount of leverage (i.e., d

29、ebt relative to equity)that the firm uses to finance its assets63Irrelevance StatementASSUMPTIONSame class of risk;Complete and Perfect Market; No tax;Absence of Arbitrage;64Firm ValueFor unleveraged firm: For leveraged firm:65Arbitrage AnalysisIf If you are investors on leverage firm and hold a fra

30、ction of its existing shares, and its value is .How will you do?66Arbitrage Analysis (cond)Borrow at the risk-free interest rateBuy of the existing equity at cost ofSell Is there any arbitrage profit?67EXAMPLE68套利過程作為一位理性的投資者，目前持有L公司1%的股票，市場(chǎng)價(jià)值為400元。將會(huì)怎樣進(jìn)行套利呢？出售L公司股票，獲得400元現(xiàn)金；按照12%的利率借款300元；購(gòu)買NL公司股票，

31、支付666.67元，其余33.33元用于其他投資(或者消費(fèi)以增加效用)；69套利前后的收益4. 套利之前，持有L公司股票的收益為400*16%=64元5. 套利之后，從NL公司獲得的收益為666.67*15%=100元，扣除借款所需要支付的利息費(fèi)用36元，凈收益為64元。套利的結(jié)果：NL公司股票價(jià)格上升；而L公司股票價(jià)格下降，兩公司的價(jià)值相同。70Cost of CapitalCost of firm or project(WACC)71MM Theorem (1958)MM Proposition II:The expected return on a firms equity is an

32、increasing function of the firms leverage.72Analysis of MM Proposition IIIs it true?If WACC is constant and WACC is great than cost of debt, MM Proposition II is correct.73Formal Analysis74Risk-neutral InvestorsIf investors are risk neutral, that is, they do not demand a premium for risk of the firm

33、s assets, thenThe risk of both debt and equity are function of risk of firms assets,It is inconsistent with MM Proposition II75Risk Premium and risk-free debtExpected return on assets( ) contains a risk premium, and expected return on equity also has a risk premiumDebt is risk freeConsistent with MM

34、 proposition II 76Risk Premium and risk-free debtAssumption 1Investors demand a premium for firms risk is increased function of firms leverageMM proposition II may be not hold77ConclusionsThe present model structure is insufficient to prove that MM Proposition II is true.However, we need to know the

35、 nature of firms risk and that of its debt and equity, as well as the markets required return for risk in form of a premium.Change in leverage simply involve redistribution of the firms total risk among the claimants.78MM under Income Tax(1963)79AssumptionDefinition of risk class80Effect of Income T

36、ax81Effect of Income Tax on value of SecuritiesWithout Leverage82Effect of Income Tax on value of SecuritiesBondFirm with Leverage83Equilibrium with ArbitrageIf Yield on portfolio 1(without leverage)Alternative Portfolio(P2)84Equilibrium with ArbitrageAlternative Portfolio(P2)Yield on P285Equilibriu

37、m with ArbitrageArbitrageIf and only if 86Portfolio Theory and CAPMMM theorem is partial equilibrium model (Stiglitz,1969)CAPM is a general equilibrium model on risk-return for all securities.87Constructions of Portfolio TheoryStatistical effects of diversification on the expected return and risk of

38、 a portfolio;Attitude of investors towards the risk, i.e., risk averse.88Statistics for a portfolio of Two SecuritiesExpected returnThe standard deviation of the portfolio,Subject to:89Statistics for a portfolio of N- SecuritiesExpected returnStandard deviation90Statistics for a equally weighted por

39、tfolio of N-SecuritiesExpected returnStandard deviation is average variance 91Risk Aversion and optimal portfolio in the absence of risk-free securitiesOptimal portfolio for less averse investorsOptimal portfolio for more averse investorsIndifference curveEfficient FrontierInefficient area92Portfoli

40、o Separation Theorem:Optimal Portfolio with Risky and Risk-free SecuritiesExpected returnStandard deviation93Portfolio Separation TheoremOld optimal portfolio for less averse investorsOld optimal portfolio for more averse investorsIndifference curveOld efficient frontierInefficient areaTNew efficien

41、t frontierNew optimal portfolio for less averse investorsNew optimal portfolio for more averse investors94Capital Market EquilibriumCapital Market LineSecurity Market Line95Option Pricing-Binomial approachExpected return is binominal distributionIf nature is good,If nature is bad,96Valuation with Binomial Pricing ModelCase 1: risk-free debt If97Valuation with Binomial Pricing ModelCase 2: Default-risky debtIf it is good, debtor get X, shareholders getIf it is bad,Debtor get shareholders get 0.98Valuation with Binomial Pricing ModelHe