金融市场与公司战略 英文版PDF电子书下载

第1部分 金融市场和金融工具 1

第1章 筹集资本 2

1 Raising Capital:The Process and the Players 2

PART1 Financial Markets and Financial Instruments 2

1.1 Financing the Firm 3

Decisions Facing the Firm 3

How Big Is the U.S.Capital Market? 5

1.2 Public and Private Sources of Capital 6

1.3 The Environment for Raising Capital in the United States 8

The Legal Environment 8

Investment Banks 10

The Underwriting Process 11

The Underwriting Agreement 12

Classifying Offerings 15

The Costs of Debt and Equity Issues 15

Types of Underwriting Arrangements 15

1.4 Raising Capital in Intemational Markets 18

Direct Issuance 18

Euromarkets 18

1.5 Major Financial Markets Outside the United States 19

Germany 19

Japan 20

United Kingdom 22

Technology 25

1.6 Trends in Raising Capital 25

Globalization 25

Deregulation 25

Innovative Instruments 25

Securitization 26

1.7 Summary and Conclusions 26

2 Debt Financing 29

第2章 债务融资 29

2.1 Bank Loans 31

Types of Bank Loans 31

Floating Rates 31

Loan Covenants 33

2.2 Leases 34

2.3 Commercial Paper 34

Who Sells Commercial Paper? 35

Buyback Provisions 35

2.4 Corporate Bond 35

Bond Covenants 35

Bond Options 39

Cash Flow Pattem 43

Bond Ratings 47

Maturity 47

Bond Prices:Par,Discount,and Premium Bonds 47

The High-Yield Debt Market 49

2.5 More Exotic Securities 51

Tax and Regulatory Frictions as Motivators for Innovation 51

Collateralization as a Force for Innovation 52

Macroeconomic Conditions and Financial Innovation 52

Financial Innovation in Emerging Capital Markets 53

The Junk Bond Market and Financial Innovation 53

A Perspective on the Pace of Financial Innovation 53

2.6 Raising Debt Capital in the Euromarkets 53

Features of Eurobonds 54

Size and Growth of the Eurobond Market and Forces behind the Growth 54

Eurocurrency Loans 54

2.7 Primary and Secondary Markets for Debt 55

The Primary and Secondary Markets for U.S.Treasury Securities 56

The Primary and Secondary Market for Corporate Bonds 56

2.8 Bond Prices,Yields to Maturity,and Bond Market Conventions 57

Settlement Dates 58

Accrued Interest 59

2.9 Yields to Maturity and Coupon Yields 62

2.10 Summary and Conclusions 63

3 Equity Financing 68

第3章 股权融资 68

3.1 types of Equity Securities 69

Common Stock 69

Preferred Stock 70

Volume of Financing with Different Equity Instruments 71

Warrants 71

3.3 The Globalization of Equity Markets 72

3.2 Who Owns U.S.Equities? 72

3.4 Secondary Markets for Equity 73

Types of Secondary Markets for Equity 73

Exchanges 74

Dealer Markets for Equity 75

Electronic Communication Networks(ECNs) 75

Intemational Secondary Markets for Equity 75

3.5 Equity Market Informational Efficiency and Capital Allocation 75

3.6 The Market for Private Equity 77

3.7 The Decision to Issue Shares Publicly 77

Demand-and Supply-Side Explanations for IPO Cycles 78

The Benefits of Going Public 79

The Costs of Going Public 80

The process of Going Public 81

3.8 Stock Returns Associated with IPOs of Common Equity 82

IPO Underpricing of U.S.Stocks 82

Estimates of International IPO Underpricing 82

What Are the Long-Term Returns of IPOs? 82

3.9 What Explains Underpricing? 84

How Do I Get These Underpriced Shares? 84

The Incentives of Underwriters 84

The Case Where Managers of the Issuing Firm Have Better Information Than Investors 85

The Case Where Some Investors Have Better Information Than Other Investors 85

The Case Where Investors Have Information That the Underwriter Does Not Have 86

3.10 Summary and Conclusions 88

第2部分 金融资产的估价 96

4 Portfolio Tools 97

第四章 资产组合分析工具 97

Ⅱ Valuing Financial Assets 97

4.1 Portfolio Weights 99

The Two-Stock Portfolio 99

The Many-Stock Portfolio 101

4.2 Portfolio Returns 102

4.3 Expected Portfolio Returns 103

Portfolios of Two Stocks 103

Portfolios of Many Stocks 104

4.4 Vaiances and Standard Deviations 104

Rerurn Variances 105

Estimating Variances:Statistical Issues 105

Standard Deviation 106

4.5 Covariances and Correlations 107

Covariance 107

4.6 Variances of Portfolios and Covariances between Portfolios 110

Variances for Two-Stock Portfolios 110

Correlations,Diversification,and Portfolio Variances 112

Portfolios of Many Stocks 114

Combining a Risk-free Asset With a Risky Asset in the Mean-Standard Deviation Diagram 115

4.7 The Mean-Standard Deviation Diagram 115

Covariances between Portfolio Returns and Stock Returns 115

Portfolios of Two Perfectly Positivey Correlated or Perfectly Negatively Correlated Assets 117

The Feasible Means and Standard Deviations from Portfolios of Other Pairs of Assets 119

4.8 Interpreting the Covariance as a Marginal Variance 120

A Proof Using Derivatives from Calculus 120

Numerical Interpretations of the Marginal Variance Result 121

4.9 Finding the Minimum Variance Portfolio 123

Properties of a Minimum Variance Portfolio 123

Identifying the Minimum Variance Portfolio of Two Stocks 123

Identifying the Minimum Variance portfolio of Many Stocks 124

4.10 Summary and Conclusions 126

Mean-Variance Analysis and the Capital Asset Pricing Model 130

第5章 方差分析与资本资产定价模型 130

Investment Applications of Mean-Variance Analysis and the CAPM 132

5.1 Applications of Mean-Variance Analysis and the CAPM in Use Today 132

Corporate Applications of Mean-Variance Analysis and the CAPM 132

5.2 The Essentials of Mean-Variance Analysis 132

The Assumptions of Mean-Variance Analysis 133

The Feasible Set 133

5.3 The Efficient Frontier and Two-Fund Separation 135

The Quest for the Holy Grail:Optimal Portfolios 136

Two-Fung Separation 136

5.4 The Tangency Portfolil and Optimal Investment 138

Optimal Investment When a Risk-Free Asset Exists 138

Identification of the Tangency Portfolio 141

5.5 Finding the Efficient Frontier of Risky Assets 143

5.6 How Useful Is Mean-Variance Analysis for Finding Efficent Portfolios? 145

Relevant Risk and the Tangency Portfolio 146

5.7 The Relation Between Risk and Expected Return 146

Betas 147

Marginal Variance versus Total Variance 149

Tracking Portfolios in Portfolio Management and as a Theme for Valuation 149

5.8 The Capital Asset Pricing Model 151

Assumptions of the CAPM 151

The Conclusion of the CAPM 152

The Market Portfolio 152

Why the Market Portfolio Is the Tangency Portfolio 153

Implications for Optimal Investment 154

5.9 Estimating Betas,Risk-Free Returns,Risk Premiums,and the Market Portfolio 155

Beta Estimation and Beta Shrinkage 155

Risk-Free or Zero-Beta Returns 155

Improving the Beta Estimated from Regression 156

Estimaling the Market Risk Premium 158

Identifying the Market Portfolio 158

5.10 Empirical Tests of the Capital Asset Pricing Model 158

Can the CAPM Really Be Tested? 159

Cross-Sectional Tests of the CAPM 160

Is the Value-Weighted Market Index Mean-Variance Efficient? 160

Times-Series Tests of the CAPM 163

Results of the Cross-Sectional and Time-Series Tests:Size,Market-to-Book,and Momentum 164

Intepreting the CAPM S Empirical Shortcomings 167

Are These CAPM Anomalies Disappearing? 168

5.11 Summary and Conclusions 169

Factor Models and the Arbitrage Pricing Theory 175

第6章 多因素模型和套利定价理论 175

6.1 The Market Model:The First Factor Model 177

The Market Model Regression 177

The Market Model Variance Decomposition 178

Diversifiable Risk and Fallacious CAPM Intuition 179

Residual Correlation and Factor Models 180

Quantifying the Diversification of Firm-Specific Risk 181

6.2 The Principle of Diversification 181

Insurance Analogies to Factor Risk and Firm-Specific Risk 181

The Multifactor Model Equation 183

Interpreting Common Factors 183

6.3 Multifactor Models 183

6.4 Estimating the Factors 184

Using Factor Analysis to Generate Factor Portfolios 184

Using Macroeconomic Variables to Generate Factors 185

Using Characteristic-Sorted Portfolios to Estimate the Factors 186

6.5 Factor Betas 187

What Determines Factor Betas? 187

Factor Models for Portfolios 187

6.6 Using Factor Models to Compute Covariances and Variances 188

Computing Covariances in a One-Factor Model 188

Computing Covariances from Factor Betas in a Multifactor Model 189

Factor Models and Correlations between Stock Returns 190

Applications of Factor Models to Mean-Variance Analysis 191

Using Factor Models to Computs Variances 191

6.7 Factor Models and Tracking Portfolios 192

Tracking Portfolios and Corporate Hedging 192

Designing Tracking Portfolios 193

Capital Allocation Decisions of Corporations and Tracking Portfolios 193

6.8 Pure Factor Portfolios 195

Constructing Pure Factor Portfolios from More Primitive Securities 195

The Risk Premiums of Pure Factor Portfolios 196

6.9 Tracking and Arbitrage 197

Using Pure Factor Portfolios to Track the Returns of a Security 197

The Expected Returu of the Tracking Portfolio 198

Decomposing Pure Factor Portfolios into Weights on More Primitive Securities 198

Arbitrage Pricing Theory with No Firm-Specific Risk 199

The Assumptions of the Arbitrage Pricing Theory 199

6.10 No Arbitrage and Pricing:The Arbitrage Pricing Theory 199

Graphing the APT Risk Return Equation 200

Verifying the Existence of Arbitrage 202

The Risk-Expected Return Relation for Securities with Firm-Specific Risk 203

6.11 Estimating Factor-Risk Premiums and Factor Betas 206

6.12 Empirical Tests of the Arbitrage Pricing Theory 206

Empirical Implications of the APT 207

Evidence from Factor Analysis Studies 207

Evidence from Studies with Macroeconomic Factors 207

Evidence from Studies That Use Firm Characteristics 208

6.13 Summary and Conclusions 209

7 Pricing Derivatives 214

第7章 衍生工具的定价 214

7.1 Examples of Derivatives 216

Forwards and Futures 216

Swaps 221

Options 223

Real Assets 228

Mortgage-Backed Securities 228

Structured Notes 229

7.2 The Basics of Derivatives Pricing 230

Perfect Tracking Portfolios 230

No Arbitrage and Valuation 230

Applying the Basic Principles of Derivatives Valuation to Value Forwards 231

Tracking and Valuation:Static versus Dynamic Strategies 234

7.3 Binomial Pricing Models 234

Binomial Model Tracking of a Structured Bond 235

Using Tracking Portfolios to Value Derivatives 237

Risk-Neutral Valuation of Derivatives:The Wall Street Approach 239

7.4 Multiperiod Binomial Valuation 245

How Restrictive Is the Binomial Process in a Multiperiod Setting? 246

Numerical Example of Multiperiod Binomial Valuation 246

Algebraic Representation of Two-Period Binomial Valuation 247

Numerical Methods 248

7.5 Valuation Techniques in the Financial Services Industry 248

The Risk-Free Rate Used by Wall-Street Firms 250

7.6 Market Frictions and Lessons from the Fate of Long-Term Capital Management 251

7.7 Summary and Conclusions 252

第8章 期权 257

8 Options 257

8.1 A Description of Options and Options Markets 258

European and American Options 258

The Four Features of Options 259

8.2 Option Expiration 259

8.3 Put-Call Parity 261

Put-Call Parity and Forward Contracts:Deriving the Formula 262

Put-Call Parity and the Pricing and Premature Exercise of American Calls 264

Put-Call Parity and a Minimum Value for a Call 264

Put-Call Parity and Corporate Securities as Options 268

Put-Call Parity and Portfolio Insurance 269

8.4 Binomial Valuation of European Options 271

8.5 Binomial Valuation of American Options 274

American Puts 275

Valuing American Options on Dividend-Paying Stocks 277

8.6 Black-Scholes Valuation 278

Black-Scholes Formula 279

Dividends and the Black-Scholes Model 280

8.7 Estimating Volatility 280

Using Historical Data 282

The Implied Volatility Approach 282

8.8 Black-Scholes Price Sensitivity to Stock Price,Volatility,Interest Rates,and Expiration Time 284

Delta:The Sensitivity to Stock Price Changes 284

Black-Scholes Option Values and Stock Volatility 285

Option Values and Time to Option Expiration 285

Option Values and the Risk-Free Interest Rate 286

A Summary of the Effects of the Parameter Changes 286

The Forward price Version of the Black-Scholes Model 287

8.9 Valuing Options on More Complex Assets 287

Computing Forward Prices from Spot Prices 288

Applications of the Foreard Price Version of the Black-Scholes Formula 289

American Options 290

American Call and put Currency Options 290

8.10 Empirical Biases in the Black-Scholes Formual 291

8.11 Summary and Conclusions 292

9 Discounting and Valuation 301

第9章 贴现与估价 301

PARTⅢ Valuing Real Assets 301

9.1 Cash Flows of Real Assets 302

Unlevered Cash Flows 303

Creating Pro-Forma Forecasts of Financial Statements 308

9.2 Using Discount Rates to Obtain Present Values 311

Single Period Returns and Their Interpretation 312

Rates of Return in a Multiperiod Setting 312

Value Additivity and Present Values of Cash Flow Streams 315

Inflation 315

Annuities and Perpetuities 316

Simple Interest 321

Time Horizons and Compounding Frequencies 321

9.3 Summary and Conclusions 324

第3部分 实物资产的估价 328

10 Investing in Risk-Free Projects 329

第10章 投资于无风险项目 329

10.1 Cash Flows 331

10.2 Net Present Value 331

Discounted Cash Flow and Net Present Value 332

Project Evaluation With the Net Pressnt Value Rule 333

Present Values and Net Present Values Have the Value Additivity Property 336

Using NPV with Capital Constraints 338

Using NPV to Evaluate Projects That Can Be Repeated over Time 340

10.3 Economic Value Added(EVA) 341

10.4 Using NPV for Other Corporate Decisions 343

10.5 Evaluating Real Investments with the Internal Rate of Retum 345

Intuition for the IRR Metod 345

Numerical Iteration of the IRR 345

NPV and Examples of IRR 346

Term Structure Issues 350

Cash Flow Sign Patterns and the Number of Internal Rates of Return 351

Sign Reversals and Multiple Internal Rates of Return 355

Mutually Exclusive Projects and the Internal Rate of Return 355

10.6 Popular but Incorrect Procedures for Evaluating Real Investments 357

The Accounting Rate of Return Crierion 358

The Payback Method 358

10.7 Summary and Conclusions 359

Appendix 10A The Term Structure of Interest Rates 363

Term Structure Varieties 363

Spot Rates,Annuity Rates,and Par Rates 364

11 Investing in Risky Projects 370

第11章 投资于风险项目 370

11.1 Tracking Portfolios and Real Asset Valuation 373

Asset Pricing Models and the Tracking Portfolio Approach 374

Implementing the Tracking Portfolio Approach 375

linking Financial Asset Tracking to Real Asset Valuation with the SML 376

11.2 the Risk-Adjusted Discount Rate Method 377

Defining and Implementing the Risk-Adjusted Discount Rate Method with Given Betas 377

The Tracking Portfolio Method Is Implicit in the Risk-Adjusted Disount Rate Method 379

11.3 The Effect of Leverage on Comparisons 379

The Balance Sheet for an All-Equity-Financed Firm 379

The Balance Sheet for a Firm Partially Financed with Debt 380

The Right-Hand Side of the Balance Sheet as a Portfolio 380

Distinguishing Risk-Free Debt from Default-Free Debt 381

Graphs and Numerical IIIustrations of the Effect of Debt on Risk 382

11.4 Implementing the Risk-Adjusted Discount Rate Formula with Comparison Firms 384

The CAPM,the Comparison Method,and Adjusting for Leverage 384

Obtaining a Cost of Capital from the Arbitrage Pricing Theory (APT) 386

Costs of Capital Computed with Alternatives to CAPM and APT:Dividend Discount Models 388

What if No Pure Comparison Firm Exists? 390

11.5 Pitfalls in Using the Comparison Method 391

Project Betas Are Not the Same as Firm Betas 391

Growth Opportunities Are Usually the Source of High Betas 392

Multiperiod Risk-Adjusted Discount Rates 394

Empirical Failures of the CAPM and APT 398

What if No Comparable Line of Business Exists? 399

Defining the Certainty Equivalent Method 403

11.6 Estimating Beta from Scenarios:The Certainty Equivalent Method 403

Identifying the Certainty Equivalent from Models of Risk ane Rerurn 404

The CAPM,Scenarios,and the Certainty Equivalent Method 406

The Relation between the Certainty Equivalent Formula and the Tracking Portfolio Approach 407

The APT and the Certainty Equivalent Method 407

A Description of the Risk-Free Scenario Method 408

11.7 Obtaining Certainty Equivalents with Risk-Free Scenarios 408

Implementing the Risk-Free Scenario Method in a Multiperiod Setting 410

11.8 Computing Certainty Equivalents from Prices in Financial Markets 413

Forward Prices 413

Providing Certainty Equivalents without Knowing It 413

11.9 Summary and Conclusions 414

Tracking Portfolios That Contain Forward Contracts 414

Appendix 11A Statistical Issues in Estimating the Cost of Capital for the Risk-Adjusted Discount Rate Method 418

Estimation Error and Denominator-Based Biases in present Value Estimates 418

Geometric versus Arithmetic Means and the Compounding-Based Bias 419

第12章 资本分配与公司战略 422

12 Allocating Capital and Corporate Strategy 422

12.1 Sources of Positive Net Present Value 424

Sources of Competitive Advantage 424

Economies of Scope,Discounted Cash Flow,and Options 425

Option Pricing Theory as a Tool for Quantifying Economies of Scope 425

12.2 Valuing Strategic Options with the Real Options Methodology 426

Vsluing a Mine with No Strategic Options 426

Valuing a Mine with an Abandonment Option 429

Valuing Vacant Land 432

Valuing the Option to Delay the Start of a Manufacturing Project 435

Valuing the Option to Expand Capacity 438

Valuing Flexibility in Production Technology:The Advantage of Being Different 440

12.3 The Ratio Comparison Approach 443

The Price／Earnings Ratio Method 444

When Comparison Investments Are Hidden in Multibusiness Firms 445

The Effect of Earnings Growth and Accounting Methodology on Price／Earnings Ratios 446

The Effect of Leverage on Price／Earnings Ratios 446

Adjusting for Leverage Differences 450

12.4 The Competitive Analysis Approach 451

Determining a Division s Contribution to Firm Value 451

Disadvantages of the Competitive Analysis Approach 451

12.5 When to Use the Different Approaches 452

Can These Approaches Be Implemented? 452

Valuing Asset Classes versus Specific Assets 452

Tracking Error Considerations 452

Othe Considerations 453

12.6 Summary and Conclusions 453

第13章 公司税及其融资对实物资产估价的影响 460

13 Corporate Taxes and the Impact of Financing on Real Asset Valuation 460

13.1 Corporate Taxes and the Evaluation of Equity-Financed Capital Expenditures 462

The Cost of Capital 462

The Risk of the Components of the Firm s Balance Sheet with Tax-Deductible Debt Interest 463

Deductible Debt Interest 463

Identifying the Unlevered Cost of Capital 466

13.2 The Adjusted Present Value Method 467

Three Sources of Value Creation for Shareholders 468

Debt Capacity 469

The APV Method Is Versatile and Usable with Many Valuation Techniques 470

13.3 The Weighted Average Cost of Capital 475

Valuing a Business with the WACC Method When a Debt Tax Shield Exists 476

WACC Components:The Cost of Equity Financing 476

WACC Components:the Cost of Debt Financing 477

Determining the Costs of Debt and Equity When the Project Is Adopted 479

The Effect of Leverage on a Firm s WACC When There Are No Taxes 480

The Effect of Leverage on a Firm s WACC with a Debt Interest Corporate Tax Deduction 481

Evaluating Individual Projects with the WACC Method 485

13.4 Discounting Cash Flows to Equity Holders 488

Positive NPV Projects Can Reduc Share Prices When Transfers to Debt Holders Occur 488

Computing Cash Flows to Equity Holders 489

Valuing Cash Flow to Equity Holders 490

Real Options versus the Risk-Adjusted Discount Rate Method 491

13.5 Summary and Conclusions 491

第4部分 资本结构 499

第14章 税对融资选择的影响 500

PARTⅣ Capital Structure 500

14 How Taxes Affect Financing Choices 500

14.1 The Modigliani-Miller Theorem Slicing the Cash Flows of the Firm 501

Proof of the Modigliani-Miller Theorem 502

Assumptions of the Modigliani-Miller Theorem 504

14.2 How an Individual Investor Can Undo a Firm s Capital Structure Choice 505

14.3 How Risky Debt Affects the Modigliani-Miller Theorem 506

The Modigliani-Miller Theorem with Costless Bankruptcy 506

Leverage Increases and Wealth Transfers 507

How Debt Affects After-Tax Cash Flows 509

14.4 How Corporate Taxes Affect the Capital Structure Choice 509

How Debt Affects the Value of the Firm 510

14.5 How Personal Taxes Affect Capital Stucture 512

The Effect of personal Taxes on Debt and Equity Rates of Return 512

Capital Structure Choices When Taxable Earnings Can Be Negative 515

14.6 Taxes and Preferred Stock 518

14.7 Taxes and Municipal Bonds 519

14.8 The Effect of Inflation on the Tax Gain from Leverage 521

14.9 The Empirical Implications of the Analysis of Debt and Taxes 522

Do Firms with More Taxable Earnings Use More Debt Financing? 522

How the Tax Reform Act of 1986 Affected Capital Structure Choice 522

14.10 Are There Tax Advantages to Leasing? 523

Operating Leases and Capital Leases 523

The After-Tax Costs of Leasing and Buying Capital Assets 523

14.11 Summary and Conclusions 525

APPendix14A How Personal Taxes Affect the Capital Structure Choice:The Miller Equilibrium 529

第15章 税对红利和股票回购的影响 531

15 How Taxes Affect Dividends and Share Repurchases 531

15.1 How Much of U.S.Corporate Earnings Is Distributed to Shareholders? 533

Aggregate Share Repurchases and Dividends 533

Dividend Policies of Selected U.S.Firms 534

15.2 Distribution Policy in Frictionless Markets 534

The Miller-Modigliani Dividend Irrelevancy Theorem 535

Optimal Payout Policy in the Absence of Taxes and Transaction Costs 537

15.3 The Effect of Taxes and Transaction Costs on Distribution Policy 538

A Comparison of the Classical and Imputation Tax Systems 539

How Taxes Affect Dividend Policy 539

Dividend Clienteles 541

Why Do Corporations Pay Out So Much in Taxed Dividends? 541

15.4 How Dividend Policy Affects Expected Stock Returns 542

Ex-Dividend Stock Price Movements 543

The Cross-Sectional Relation between Dividend Yields and Stock Returns 544

Dividends,Taxes,and Financing Choices 546

15.5 How Dividend Taxes Affect Financing and Investment Choices 546

Dividends,taxes,and Investment Distortions 547

15.6 Personal Taxes,Payout Policy,and Capital Structure 551

15.7 Summary and Conclusions 553

第16章 破产成本与债权人一股东利益冲突 557

16 Bankruptcy Costs and Debt Holder-Equity Holder Conflicts 557

16.1 Bankruptcy 559

The U.S.Bankruptcy Code 559

The Direct Costs of Bankruptcy 560

16.2 Debt Holder-Equity Holder Conflicts:An Indirect Bankruptcy Cost 561

Equity Holder Incentives 562

The Debt Overhang problem 563

The Shortsighted Investment Problem 567

The Asset Substitution Problem 569

The Incentives of a Firm to Take Higher Risks:The Case of Unistar 569

How Do Debt Holders Respond to Shareholder Incentives? 570

The Reluctance to Liquidate Problem 575

16.3 How Chapter 11 Bankruptcy Mitigates Debt Holder-Equity Holder Incentive Problems 580

16.4 How Can Firms Minimize Debt Holder-Equity Holder Problems? 580

Nonfinancial Stakeholders 580

Protective Covenants 581

Bank and privately Placed Debt 583

The Use of Short-Term versus Long-Term Debt 584

Security Design:The Use of Convertibles 585

The Use of Project Financing 586

Management Compensation Contracts 587

How Financing Choices Influence Investment Choices 588

How Investment Opportunities Influence Financing Choices 588

16.5 Empirical Implications for Financing Choices 588

Evidence from Japan 589

Firm Size and Financing Choices 589

16.6 Summary and Conclusions 590

17 Capital Structure and Corporate Stratey 595

第17章 资本结构与公司战略 595

17.1 The Stakeholder Theory of Capital Structure 597

How the Costs Imposed on Stakeholders Affect the Capital Structure Choice 598

Financial Distress and Reputation 601

Whom Would You Rather Work For? 603

17.2 The Benefits of Financial Distress with Committed Stakeholders 604

Summary of the Stakeholdre Theory 604

Bargaining with Unions 605

Bargaining with the Govemment 606

17.3 Capital Structure and Competitive Strategy 607

Does Debt Make Firms More or Less Aggressive Competitors? 607

Debt and Predation 609

Empirical Studies of the Relationship between Debt Financing and Market Share 610

17.4 Dynamic Capital Structure Considerations 611

The Pecking Order of Financing Choices 612

An Explanation Based on Management Incentives 613

An Explanation Based on Managers Having More Information Than Investors 613

An Explanation Based on the Stakeholder Theory 613

An Explanation Based on Debt Holder-Equity Holder Conflicts 614

17.5 Empirical Evidence on the Capital Structure Choice 616

17.6 Summary and Conclusions 617

第5部分 激励、信息和公司控制 626

第18章 管理激励对财务决策的影响 627

PARTⅤ Incentives,Information,and Corporate Control 627

18 How Managerial Incentives Affect Financial Decisions 627

18.1 The Separation of Ownership and Control 629

Whom Do Managers Represent? 629

What Factors Influence Managerial Incentives? 629

How Management Incentive Problems Hurt Shareholder Value 630

Why Shareholders Cannot Control Managers 630

Changes in Corporate Governance 632

Do Corporate Governance Problems Differ Across Countries? 633

18.2 Management Shareholdings and Market Value 634

The Effect of Management Shareholdings on Stock Prices 634

Management Shareholdings and Firm Value:The Empirical Evidence 635

18.3 How Management Control Distorts Investment Decisions 636

The Investment Choices Managers Prefer 636

Outside Shareholders and Managerial Discretion 638

18.4 Capital Structure and Managerial Control 639

The Relation between Shareholder Control and Leverage 639

How Leverage Affects the Level of Investment 640

A Monitoring Role for Banks 642

A Monitoring Role for Private Equity 643

18.5 Esecutive Compensation 643

The Agency Problem 644

Is Executive Pay Closely Tied to Performance? 645

How Does Firm Value Relate to the Use of Performance-Based Pay? 647

Is Pay-for-Performance Sensitivity Increasing? 647

Is Executive Compensation Tied to Relative Performance? 648

Stock-Based versus Earnings-Based Performance Pay 649

Compensation Issues,Mergers,and Divestitures 650

18.6 Summary and Conclusions 651

19 The Information Conveyed by Financial Decisions 656

第19章 财务决策的信息含义 656

Conflicts between Short-Term and Long-Term Share Price Maximization 658

19.1 Management Incentives When Managers Have Better Information Than Shareholders 658

19.2 Earnings Manipulation 660

Incentives to Increase or Decrease Accounting Earnings 661

19.3 Shortsighted Investment Choices 662

Management s Reluctance to Undertake Long-Term Investments 662

What Determines a Manager s Incentive to Be Shortsighted? 663

19.4 The Information Content of Dividend and Share Repurchase Announcements 664

Empirical Evidence on Stock Returns at the Time of Dividend Announcements 664

A Dividend Signaling Model 664

Dividend Policy and Investment Incentives 668

Dividends Attract Attention 670

19.5 The Information Content of the Debt-Equity Choice 671

A Signaling Model Based on the Tax Gain／Financial Distress Cost Trade-Off 671

Adverse Selection Theory 674

19.6 Empirical Evidence 678

What Is an Event Study? 678

Event Study Evidence 680

How Does the Availability of Cash Affect Investment Expenditures? 684

19.7 Summary and Conclusions 685

第20章 兼并和收购 691

20 Mergrs and Acquisitions 691

20.1 A History of Mergers and Acquisitions 692

Strategic Acquisitions 694

20.2 Types of Mergers and Acquisitions 694

Financial Acquisitions 695

Conglomerate Acquisitions 695

Summary of Mergers and Acquisitions 696

The Demise of Hostile Takeovers and LBOs in the 1990S 697

20.3 Recent Trends in Takeover Activity 697

Cross Border Acquisitions 698

20.4 Sources of Takeover Gains 698

Tax Motivations 698

Operating Synergies 699

Management Incentive Issues and Takeovers 701

Financial Synergies 703

Is an Acquisition Required to Realize Tax Gains,Operating Synergies,Incentive Gains,or Diversification? 704

20.5 The Disadvantages of Mergers and Acquisitions 705

Mergers Can Reduce the Information Contained in Stock Prices 706

A Summary of the Gains and Costs of Diversification 706

Conglomerates Can Misallocate Capital 706

20.6 Empirical Evidence on Takeover Gains for Non-LBO Takeovers 707

Stock Returns around the Time of Takeover Announcements 707

Empirical Evidence on the Gains to Diversification 710

Accounting Studies 711

20.7 Empirical Evidence on the Gains from Leveraged Buyouts(LBOs) 712

How Leveraged Buyouts Affect Stock Prices 712

Cash Flow Changes Following Leveraged Buyouts 713

20.8 Valuing Acquisitions 714

Valuing Synergies 715

A Guide to the Valuation of Synergies 716

20.9 Financing Acquisitions 719

Tax Implications of the Financing of a Merger or an Acquisition 719

Acquisition 719

Accounting Implications of the Financing of a Merger or an Acquisition 720

Capital Structure Implications in the Financing of a Merger or an Acquisition 722

Information Effects from the Financing of a Merger or an Acquisition 722

20.10 Bidding Strategies in Hostile Takeovers 722

The Free-Rider Problem 722

Solutions to the Free-Rider Problem 724

20.11 Management Defenses 727

Poison Pills 728

Antitakeover Laws 728

Staggered Boards and Supermajority Rules 728

Are Takeover Defenses Good for Shareholders? 729

20.12 Summary and Conclusions 729

第6部分 风险管理 738

第21章 风险管理公司战略 739

21 Risk Management and Corporate Strategy 739

PARTⅥ Risk Management 740

21.1 Risk Management and the Modigliani-Miller Theorem 740

Implications of the Modigliani-Miller Theorem for Hedging 741

The Investor s Hedging Choice 741

Relaxing the Modigliani-Miller Assumptions 742

A Simple Analogy 743

21.2 Why Do Firms Hedge? 743

How Does Hedging Increase Expected Cash Flows? 743

How Hedging Reduces Taxes 744

Hedging to Avoid Financial Distress Costs 745

Hedging to Help Firms Plan for Their Capital Needs 748

How Hedging Improves Executive Compensation Contracts and Performance Evaluation 749

How Hedging Improves Decision Making 751

21.3 The Motivation on Hedge Affects What Is Hedged 754

21.4 How Should Companies Organize Their Hedging Activities? 755

21.5 Do Risk Management Departments Always Hedeg? 755

How Hedging Affects Debt Holders and Equity Holders 756

21.6 How Hedging Affects the Firm s Stakeholders 756

How Hedging Affects Employees and Customers 756

Hedging and Managerial Incentives 757

21.7 The Motivation to Manage Interest Rate Risk 758

Aiternative Liability Streams 758

How Do Corporations Choose between Different Liability Streams? 760

21.8 Foreign Exchange Risk Management 761

Types of Foreign Exchange Risk 761

Why Do Exchange Rates Change? 763

Why Most Firms Do Not Hedge Economic Risk 766

21.9 Which Firms Hedge? The Empirical Evidence 767

Firms with More Growth Opportunities Are More Likely to Use Derivatives 768

Larger Firms Are More Likely to Use Derivatives Than Smaller Firms 768

Highly Levered Firms Are More Likely to Use Derivatives 768

Risk Management Practices in the Oil and Gas Industry 769

Risk Management Practices in the Gold Mining Industry 769

21.10 Summary and Conclusions 769

第22章 套期保值实践 773

22 The Practice of Hedging 773

22.1 Measuring Risk Exposure 774

Using Regression to Estimate the Risk Exposure 775

Measuring Risk Exposure with Simulations 775

Prespecification of Factor Betas from Theoretical Relations 776

Volatility as a Measure of Risk Exposure 776

Value at Risk as a Measure of Risk Exposure 777

How Forward-Date Obligations Create Risk 779

Review of Forward Contracts 779

Using Forwards to Eliminate the Oil Price Risk of Forward Obligations 779

22.2 Hedging Short-Term Commitments with Maturity-Matched Forward Contracts 779

Using Forward Contracts to Hedge Currency Obligations 781

Review of Futures Contracts, Marking to Market, and Futures Prices 783

Tailing the Futures Hedge 783

22.3 Hedging Short-Term Commitments with Maturity-Matched Futures Contracts 783

22.4 Hedging and Convenience Yields 785

When Convenience Yields Do Not Affect Hedge Ratios 786

How Supply and Demand for Convenience Determine Convenience Yields 786

Hedging the Risk from Holding Spot Positions in Commodities with Convenience Yields 787

22.5 Hedging Long-Dated Commitments with Short-Maturing Futures or Forward Contracts 788

Maturity,Risk,and Hedging in the Presence of a Constant Convenience Yield 789

Quantitative Estimates of the Oil Futures Stack Hedge Error 791

Intuition for Hedging with a Maturity Mismatch in the Presence of a Constant Convenience Yield 792

Convenience Yield Risk Generated by Correlation between Spot Prices and Convenience Yields 793

Basis Risk 794

22.6 Hedging with Swaps 795

Review of Swaps 795

Hedging with Interest Rate Swaps 796

Hedging with Currency Swaps 798

22.7 Hedging with Options 799

Why Option Hedging Is Desirable 799

Covered Option Hedging:Caps and Floors 800

Delta Hedging with Options 803

Computing Factor Betas for Cash Flow Combinations 805

Computing Hedge Ratios 805

22.8 Factor-Based Hedging 805

Direct Hedge Ratio Computations:Solving Systems of Equations 806

22.9 Hedging With Regression 807

Hedging a Cash Flow with a Single Financial Instrument 808

Hedging with Multiple Regression 809

22.10 Minimum Variance Portfolios and Mean-Variance Analysis 810

Hedging to Arrive at the Minimum Variance Portfolio 810

Hedging to Arrive at the Tangency Portfolio 811

22.11 Summary and Conclusions 812

23 Interest Rate Risk Management 818

第23章 利率风险管理 818

Methods Used to Compute DVOI for Traded Bonds 820

23.1 The Dollar Value of a One Basis Point Decrease(DVOI) 820

Using DVOI to Estimate Price Changes 822

DVOIs of Various Bond Types and Portfolios 822

Using DVOIs to Hedge Interest Rate Risk 823

How Compounding Frequency Affects the Stated DVOI 824

The Duration of Zero-Corpon Bonds 826

The Duration of Coupon Bonds 826

23.2 Duration 826

Durations of Discount and Premium-Coupon Bonds 827

How Duration Changes as Time Elapses 827

Durations of Bond Portfolios 827

How Duration Changes as Interest Rates Increase 829

23.3 Linking Duration to DVOI 830

Duration as a Derivative 830

Formulas Relating Duration to DVOI 831

Hedging with DVOIs or Durations 832

Ordinary Immunization 834

23.4 Immunization 834

Immunization Using DVOI 837

Practical Issues to Consider 838

Contingent Immunization 838

Immunization and Large Changes in Interest Rates 838

23.5 Convexity 839

Defining and Interpreting Convexity 839

Estimating Price Sensitivity to Yield 840

Misuse of Convexity 841

23.6 Interest Rate Hedging When the Term Structure Is Not Flat 845

The Yield-Beta Solution 846

The Parallel Term Structure Shift Solution:Term Structure DVOI 847

MacAuley Duration and Present Value Duration 847

Present Value Duration as a Derivative 849

23.7 Summaty and Conclusions 850

Appendix A Mathematical Tables 856

Index 865