金融市场与公司战略 英文版2025|PDF|Epub|mobi|kindle电子书版本百度云盘下载

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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 Players2

PART1 Financial Markets and Financial Instruments2

1.1 Financing the Firm3

Decisions Facing the Firm3

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

1.2 Public and Private Sources of Capital6

1.3 The Environment for Raising Capital in the United States8

The Legal Environment8

Investment Banks10

The Underwriting Process11

The Underwriting Agreement12

Classifying Offerings15

The Costs of Debt and Equity Issues15

Types of Underwriting Arrangements15

1.4 Raising Capital in Intemational Markets18

Direct Issuance18

Euromarkets18

1.5 Major Financial Markets Outside the United States19

Germany19

Japan20

United Kingdom22

Technology25

1.6 Trends in Raising Capital25

Globalization25

Deregulation25

Innovative Instruments25

Securitization26

1.7 Summary and Conclusions26

2 Debt Financing29

第2章 债务融资29

2.1 Bank Loans31

Types of Bank Loans31

Floating Rates31

Loan Covenants33

2.2 Leases34

2.3 Commercial Paper34

Who Sells Commercial Paper?35

Buyback Provisions35

2.4 Corporate Bond35

Bond Covenants35

Bond Options39

Cash Flow Pattem43

Bond Ratings47

Maturity47

Bond Prices:Par,Discount,and Premium Bonds47

The High-Yield Debt Market49

2.5 More Exotic Securities51

Tax and Regulatory Frictions as Motivators for Innovation51

Collateralization as a Force for Innovation52

Macroeconomic Conditions and Financial Innovation52

Financial Innovation in Emerging Capital Markets53

The Junk Bond Market and Financial Innovation53

A Perspective on the Pace of Financial Innovation53

2.6 Raising Debt Capital in the Euromarkets53

Features of Eurobonds54

Size and Growth of the Eurobond Market and Forces behind the Growth54

Eurocurrency Loans54

2.7 Primary and Secondary Markets for Debt55

The Primary and Secondary Markets for U.S.Treasury Securities56

The Primary and Secondary Market for Corporate Bonds56

2.8 Bond Prices,Yields to Maturity,and Bond Market Conventions57

Settlement Dates58

Accrued Interest59

2.9 Yields to Maturity and Coupon Yields62

2.10 Summary and Conclusions63

3 Equity Financing68

第3章 股权融资68

3.1 types of Equity Securities69

Common Stock69

Preferred Stock70

Volume of Financing with Different Equity Instruments71

Warrants71

3.3 The Globalization of Equity Markets72

3.2 Who Owns U.S.Equities?72

3.4 Secondary Markets for Equity73

Types of Secondary Markets for Equity73

Exchanges74

Dealer Markets for Equity75

Electronic Communication Networks(ECNs)75

Intemational Secondary Markets for Equity75

3.5 Equity Market Informational Efficiency and Capital Allocation75

3.6 The Market for Private Equity77

3.7 The Decision to Issue Shares Publicly77

Demand-and Supply-Side Explanations for IPO Cycles78

The Benefits of Going Public79

The Costs of Going Public80

The process of Going Public81

3.8 Stock Returns Associated with IPOs of Common Equity82

IPO Underpricing of U.S.Stocks82

Estimates of International IPO Underpricing82

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 Underwriters84

The Case Where Managers of the Issuing Firm Have Better Information Than Investors85

The Case Where Some Investors Have Better Information Than Other Investors85

The Case Where Investors Have Information That the Underwriter Does Not Have86

3.10 Summary and Conclusions88

第2部分 金融资产的估价96

4 Portfolio Tools97

第四章 资产组合分析工具97

Ⅱ Valuing Financial Assets97

4.1 Portfolio Weights99

The Two-Stock Portfolio99

The Many-Stock Portfolio101

4.2 Portfolio Returns102

4.3 Expected Portfolio Returns103

Portfolios of Two Stocks103

Portfolios of Many Stocks104

4.4 Vaiances and Standard Deviations104

Rerurn Variances105

Estimating Variances:Statistical Issues105

Standard Deviation106

4.5 Covariances and Correlations107

Covariance107

4.6 Variances of Portfolios and Covariances between Portfolios110

Variances for Two-Stock Portfolios110

Correlations,Diversification,and Portfolio Variances112

Portfolios of Many Stocks114

Combining a Risk-free Asset With a Risky Asset in the Mean-Standard Deviation Diagram115

4.7 The Mean-Standard Deviation Diagram115

Covariances between Portfolio Returns and Stock Returns115

Portfolios of Two Perfectly Positivey Correlated or Perfectly Negatively Correlated Assets117

The Feasible Means and Standard Deviations from Portfolios of Other Pairs of Assets119

4.8 Interpreting the Covariance as a Marginal Variance120

A Proof Using Derivatives from Calculus120

Numerical Interpretations of the Marginal Variance Result121

4.9 Finding the Minimum Variance Portfolio123

Properties of a Minimum Variance Portfolio123

Identifying the Minimum Variance Portfolio of Two Stocks123

Identifying the Minimum Variance portfolio of Many Stocks124

4.10 Summary and Conclusions126

Mean-Variance Analysis and the Capital Asset Pricing Model130

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 CAPM132

5.1 Applications of Mean-Variance Analysis and the CAPM in Use Today132

Corporate Applications of Mean-Variance Analysis and the CAPM132

5.2 The Essentials of Mean-Variance Analysis132

The Assumptions of Mean-Variance Analysis133

The Feasible Set133

5.3 The Efficient Frontier and Two-Fund Separation135

The Quest for the Holy Grail:Optimal Portfolios136

Two-Fung Separation136

5.4 The Tangency Portfolil and Optimal Investment138

Optimal Investment When a Risk-Free Asset Exists138

Identification of the Tangency Portfolio141

5.5 Finding the Efficient Frontier of Risky Assets143

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

Relevant Risk and the Tangency Portfolio146

5.7 The Relation Between Risk and Expected Return146

Betas147

Marginal Variance versus Total Variance149

Tracking Portfolios in Portfolio Management and as a Theme for Valuation149

5.8 The Capital Asset Pricing Model151

Assumptions of the CAPM151

The Conclusion of the CAPM152

The Market Portfolio152

Why the Market Portfolio Is the Tangency Portfolio153

Implications for Optimal Investment154

5.9 Estimating Betas,Risk-Free Returns,Risk Premiums,and the Market Portfolio155

Beta Estimation and Beta Shrinkage155

Risk-Free or Zero-Beta Returns155

Improving the Beta Estimated from Regression156

Estimaling the Market Risk Premium158

Identifying the Market Portfolio158

5.10 Empirical Tests of the Capital Asset Pricing Model158

Can the CAPM Really Be Tested?159

Cross-Sectional Tests of the CAPM160

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

Times-Series Tests of the CAPM163

Results of the Cross-Sectional and Time-Series Tests:Size,Market-to-Book,and Momentum164

Intepreting the CAPM S Empirical Shortcomings167

Are These CAPM Anomalies Disappearing?168

5.11 Summary and Conclusions169

Factor Models and the Arbitrage Pricing Theory175

第6章 多因素模型和套利定价理论175

6.1 The Market Model:The First Factor Model177

The Market Model Regression177

The Market Model Variance Decomposition178

Diversifiable Risk and Fallacious CAPM Intuition179

Residual Correlation and Factor Models180

Quantifying the Diversification of Firm-Specific Risk181

6.2 The Principle of Diversification181

Insurance Analogies to Factor Risk and Firm-Specific Risk181

The Multifactor Model Equation183

Interpreting Common Factors183

6.3 Multifactor Models183

6.4 Estimating the Factors184

Using Factor Analysis to Generate Factor Portfolios184

Using Macroeconomic Variables to Generate Factors185

Using Characteristic-Sorted Portfolios to Estimate the Factors186

6.5 Factor Betas187

What Determines Factor Betas?187

Factor Models for Portfolios187

6.6 Using Factor Models to Compute Covariances and Variances188

Computing Covariances in a One-Factor Model188

Computing Covariances from Factor Betas in a Multifactor Model189

Factor Models and Correlations between Stock Returns190

Applications of Factor Models to Mean-Variance Analysis191

Using Factor Models to Computs Variances191

6.7 Factor Models and Tracking Portfolios192

Tracking Portfolios and Corporate Hedging192

Designing Tracking Portfolios193

Capital Allocation Decisions of Corporations and Tracking Portfolios193

6.8 Pure Factor Portfolios195

Constructing Pure Factor Portfolios from More Primitive Securities195

The Risk Premiums of Pure Factor Portfolios196

6.9 Tracking and Arbitrage197

Using Pure Factor Portfolios to Track the Returns of a Security197

The Expected Returu of the Tracking Portfolio198

Decomposing Pure Factor Portfolios into Weights on More Primitive Securities198

Arbitrage Pricing Theory with No Firm-Specific Risk199

The Assumptions of the Arbitrage Pricing Theory199

6.10 No Arbitrage and Pricing:The Arbitrage Pricing Theory199

Graphing the APT Risk Return Equation200

Verifying the Existence of Arbitrage202

The Risk-Expected Return Relation for Securities with Firm-Specific Risk203

6.11 Estimating Factor-Risk Premiums and Factor Betas206

6.12 Empirical Tests of the Arbitrage Pricing Theory206

Empirical Implications of the APT207

Evidence from Factor Analysis Studies207

Evidence from Studies with Macroeconomic Factors207

Evidence from Studies That Use Firm Characteristics208

6.13 Summary and Conclusions209

7 Pricing Derivatives214

第7章 衍生工具的定价214

7.1 Examples of Derivatives216

Forwards and Futures216

Swaps221

Options223

Real Assets228

Mortgage-Backed Securities228

Structured Notes229

7.2 The Basics of Derivatives Pricing230

Perfect Tracking Portfolios230

No Arbitrage and Valuation230

Applying the Basic Principles of Derivatives Valuation to Value Forwards231

Tracking and Valuation:Static versus Dynamic Strategies234

7.3 Binomial Pricing Models234

Binomial Model Tracking of a Structured Bond235

Using Tracking Portfolios to Value Derivatives237

Risk-Neutral Valuation of Derivatives:The Wall Street Approach239

7.4 Multiperiod Binomial Valuation245

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

Numerical Example of Multiperiod Binomial Valuation246

Algebraic Representation of Two-Period Binomial Valuation247

Numerical Methods248

7.5 Valuation Techniques in the Financial Services Industry248

The Risk-Free Rate Used by Wall-Street Firms250

7.6 Market Frictions and Lessons from the Fate of Long-Term Capital Management251

7.7 Summary and Conclusions252

第8章 期权257

8 Options257

8.1 A Description of Options and Options Markets258

European and American Options258

The Four Features of Options259

8.2 Option Expiration259

8.3 Put-Call Parity261

Put-Call Parity and Forward Contracts:Deriving the Formula262

Put-Call Parity and the Pricing and Premature Exercise of American Calls264

Put-Call Parity and a Minimum Value for a Call264

Put-Call Parity and Corporate Securities as Options268

Put-Call Parity and Portfolio Insurance269

8.4 Binomial Valuation of European Options271

8.5 Binomial Valuation of American Options274

American Puts275

Valuing American Options on Dividend-Paying Stocks277

8.6 Black-Scholes Valuation278

Black-Scholes Formula279

Dividends and the Black-Scholes Model280

8.7 Estimating Volatility280

Using Historical Data282

The Implied Volatility Approach282

8.8 Black-Scholes Price Sensitivity to Stock Price,Volatility,Interest Rates,and Expiration Time284

Delta:The Sensitivity to Stock Price Changes284

Black-Scholes Option Values and Stock Volatility285

Option Values and Time to Option Expiration285

Option Values and the Risk-Free Interest Rate286

A Summary of the Effects of the Parameter Changes286

The Forward price Version of the Black-Scholes Model287

8.9 Valuing Options on More Complex Assets287

Computing Forward Prices from Spot Prices288

Applications of the Foreard Price Version of the Black-Scholes Formula289

American Options290

American Call and put Currency Options290

8.10 Empirical Biases in the Black-Scholes Formual291

8.11 Summary and Conclusions292

9 Discounting and Valuation301

第9章 贴现与估价301

PARTⅢ Valuing Real Assets301

9.1 Cash Flows of Real Assets302

Unlevered Cash Flows303

Creating Pro-Forma Forecasts of Financial Statements308

9.2 Using Discount Rates to Obtain Present Values311

Single Period Returns and Their Interpretation312

Rates of Return in a Multiperiod Setting312

Value Additivity and Present Values of Cash Flow Streams315

Inflation315

Annuities and Perpetuities316

Simple Interest321

Time Horizons and Compounding Frequencies321

9.3 Summary and Conclusions324

第3部分 实物资产的估价328

10 Investing in Risk-Free Projects329

第10章 投资于无风险项目329

10.1 Cash Flows331

10.2 Net Present Value331

Discounted Cash Flow and Net Present Value332

Project Evaluation With the Net Pressnt Value Rule333

Present Values and Net Present Values Have the Value Additivity Property336

Using NPV with Capital Constraints338

Using NPV to Evaluate Projects That Can Be Repeated over Time340

10.3 Economic Value Added(EVA)341

10.4 Using NPV for Other Corporate Decisions343

10.5 Evaluating Real Investments with the Internal Rate of Retum345

Intuition for the IRR Metod345

Numerical Iteration of the IRR345

NPV and Examples of IRR346

Term Structure Issues350

Cash Flow Sign Patterns and the Number of Internal Rates of Return351

Sign Reversals and Multiple Internal Rates of Return355

Mutually Exclusive Projects and the Internal Rate of Return355

10.6 Popular but Incorrect Procedures for Evaluating Real Investments357

The Accounting Rate of Return Crierion358

The Payback Method358

10.7 Summary and Conclusions359

Appendix 10A The Term Structure of Interest Rates363

Term Structure Varieties363

Spot Rates,Annuity Rates,and Par Rates364

11 Investing in Risky Projects370

第11章 投资于风险项目370

11.1 Tracking Portfolios and Real Asset Valuation373

Asset Pricing Models and the Tracking Portfolio Approach374

Implementing the Tracking Portfolio Approach375

linking Financial Asset Tracking to Real Asset Valuation with the SML376

11.2 the Risk-Adjusted Discount Rate Method377

Defining and Implementing the Risk-Adjusted Discount Rate Method with Given Betas377

The Tracking Portfolio Method Is Implicit in the Risk-Adjusted Disount Rate Method379

11.3 The Effect of Leverage on Comparisons379

The Balance Sheet for an All-Equity-Financed Firm379

The Balance Sheet for a Firm Partially Financed with Debt380

The Right-Hand Side of the Balance Sheet as a Portfolio380

Distinguishing Risk-Free Debt from Default-Free Debt381

Graphs and Numerical IIIustrations of the Effect of Debt on Risk382

11.4 Implementing the Risk-Adjusted Discount Rate Formula with Comparison Firms384

The CAPM,the Comparison Method,and Adjusting for Leverage384

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

Costs of Capital Computed with Alternatives to CAPM and APT:Dividend Discount Models388

What if No Pure Comparison Firm Exists?390

11.5 Pitfalls in Using the Comparison Method391

Project Betas Are Not the Same as Firm Betas391

Growth Opportunities Are Usually the Source of High Betas392

Multiperiod Risk-Adjusted Discount Rates394

Empirical Failures of the CAPM and APT398

What if No Comparable Line of Business Exists?399

Defining the Certainty Equivalent Method403

11.6 Estimating Beta from Scenarios:The Certainty Equivalent Method403

Identifying the Certainty Equivalent from Models of Risk ane Rerurn404

The CAPM,Scenarios,and the Certainty Equivalent Method406

The Relation between the Certainty Equivalent Formula and the Tracking Portfolio Approach407

The APT and the Certainty Equivalent Method407

A Description of the Risk-Free Scenario Method408

11.7 Obtaining Certainty Equivalents with Risk-Free Scenarios408

Implementing the Risk-Free Scenario Method in a Multiperiod Setting410

11.8 Computing Certainty Equivalents from Prices in Financial Markets413

Forward Prices413

Providing Certainty Equivalents without Knowing It413

11.9 Summary and Conclusions414

Tracking Portfolios That Contain Forward Contracts414

Appendix 11A Statistical Issues in Estimating the Cost of Capital for the Risk-Adjusted Discount Rate Method418

Estimation Error and Denominator-Based Biases in present Value Estimates418

Geometric versus Arithmetic Means and the Compounding-Based Bias419

第12章 资本分配与公司战略422

12 Allocating Capital and Corporate Strategy422

12.1 Sources of Positive Net Present Value424

Sources of Competitive Advantage424

Economies of Scope,Discounted Cash Flow,and Options425

Option Pricing Theory as a Tool for Quantifying Economies of Scope425

12.2 Valuing Strategic Options with the Real Options Methodology426

Vsluing a Mine with No Strategic Options426

Valuing a Mine with an Abandonment Option429

Valuing Vacant Land432

Valuing the Option to Delay the Start of a Manufacturing Project435

Valuing the Option to Expand Capacity438

Valuing Flexibility in Production Technology:The Advantage of Being Different440

12.3 The Ratio Comparison Approach443

The Price／Earnings Ratio Method444

When Comparison Investments Are Hidden in Multibusiness Firms445

The Effect of Earnings Growth and Accounting Methodology on Price／Earnings Ratios446

The Effect of Leverage on Price／Earnings Ratios446

Adjusting for Leverage Differences450

12.4 The Competitive Analysis Approach451

Determining a Division s Contribution to Firm Value451

Disadvantages of the Competitive Analysis Approach451

12.5 When to Use the Different Approaches452

Can These Approaches Be Implemented?452

Valuing Asset Classes versus Specific Assets452

Tracking Error Considerations452

Othe Considerations453

12.6 Summary and Conclusions453

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 Valuation460

13.1 Corporate Taxes and the Evaluation of Equity-Financed Capital Expenditures462

The Cost of Capital462

The Risk of the Components of the Firm s Balance Sheet with Tax-Deductible Debt Interest463

Deductible Debt Interest463

Identifying the Unlevered Cost of Capital466

13.2 The Adjusted Present Value Method467

Three Sources of Value Creation for Shareholders468

Debt Capacity469

The APV Method Is Versatile and Usable with Many Valuation Techniques470

13.3 The Weighted Average Cost of Capital475

Valuing a Business with the WACC Method When a Debt Tax Shield Exists476

WACC Components:The Cost of Equity Financing476

WACC Components:the Cost of Debt Financing477

Determining the Costs of Debt and Equity When the Project Is Adopted479

The Effect of Leverage on a Firm s WACC When There Are No Taxes480

The Effect of Leverage on a Firm s WACC with a Debt Interest Corporate Tax Deduction481

Evaluating Individual Projects with the WACC Method485

13.4 Discounting Cash Flows to Equity Holders488

Positive NPV Projects Can Reduc Share Prices When Transfers to Debt Holders Occur488

Computing Cash Flows to Equity Holders489

Valuing Cash Flow to Equity Holders490

Real Options versus the Risk-Adjusted Discount Rate Method491

13.5 Summary and Conclusions491

第4部分 资本结构499

第14章 税对融资选择的影响500

PARTⅣ Capital Structure500

14 How Taxes Affect Financing Choices500

14.1 The Modigliani-Miller Theorem Slicing the Cash Flows of the Firm501

Proof of the Modigliani-Miller Theorem502

Assumptions of the Modigliani-Miller Theorem504

14.2 How an Individual Investor Can Undo a Firm s Capital Structure Choice505

14.3 How Risky Debt Affects the Modigliani-Miller Theorem506

The Modigliani-Miller Theorem with Costless Bankruptcy506

Leverage Increases and Wealth Transfers507

How Debt Affects After-Tax Cash Flows509

14.4 How Corporate Taxes Affect the Capital Structure Choice509

How Debt Affects the Value of the Firm510

14.5 How Personal Taxes Affect Capital Stucture512

The Effect of personal Taxes on Debt and Equity Rates of Return512

Capital Structure Choices When Taxable Earnings Can Be Negative515

14.6 Taxes and Preferred Stock518

14.7 Taxes and Municipal Bonds519

14.8 The Effect of Inflation on the Tax Gain from Leverage521

14.9 The Empirical Implications of the Analysis of Debt and Taxes522

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

How the Tax Reform Act of 1986 Affected Capital Structure Choice522

14.10 Are There Tax Advantages to Leasing?523

Operating Leases and Capital Leases523

The After-Tax Costs of Leasing and Buying Capital Assets523

14.11 Summary and Conclusions525

APPendix14A How Personal Taxes Affect the Capital Structure Choice:The Miller Equilibrium529

第15章 税对红利和股票回购的影响531

15 How Taxes Affect Dividends and Share Repurchases531

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

Aggregate Share Repurchases and Dividends533

Dividend Policies of Selected U.S.Firms534

15.2 Distribution Policy in Frictionless Markets534

The Miller-Modigliani Dividend Irrelevancy Theorem535

Optimal Payout Policy in the Absence of Taxes and Transaction Costs537

15.3 The Effect of Taxes and Transaction Costs on Distribution Policy538

A Comparison of the Classical and Imputation Tax Systems539

How Taxes Affect Dividend Policy539

Dividend Clienteles541

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

15.4 How Dividend Policy Affects Expected Stock Returns542

Ex-Dividend Stock Price Movements543

The Cross-Sectional Relation between Dividend Yields and Stock Returns544

Dividends,Taxes,and Financing Choices546

15.5 How Dividend Taxes Affect Financing and Investment Choices546

Dividends,taxes,and Investment Distortions547

15.6 Personal Taxes,Payout Policy,and Capital Structure551

15.7 Summary and Conclusions553

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 Conflicts557

16.1 Bankruptcy559

The U.S.Bankruptcy Code559

The Direct Costs of Bankruptcy560

16.2 Debt Holder-Equity Holder Conflicts:An Indirect Bankruptcy Cost561

Equity Holder Incentives562

The Debt Overhang problem563

The Shortsighted Investment Problem567

The Asset Substitution Problem569

The Incentives of a Firm to Take Higher Risks:The Case of Unistar569

How Do Debt Holders Respond to Shareholder Incentives?570

The Reluctance to Liquidate Problem575

16.3 How Chapter 11 Bankruptcy Mitigates Debt Holder-Equity Holder Incentive Problems580

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

Nonfinancial Stakeholders580

Protective Covenants581

Bank and privately Placed Debt583

The Use of Short-Term versus Long-Term Debt584

Security Design:The Use of Convertibles585

The Use of Project Financing586

Management Compensation Contracts587

How Financing Choices Influence Investment Choices588

How Investment Opportunities Influence Financing Choices588

16.5 Empirical Implications for Financing Choices588

Evidence from Japan589

Firm Size and Financing Choices589

16.6 Summary and Conclusions590

17 Capital Structure and Corporate Stratey595

第17章 资本结构与公司战略595

17.1 The Stakeholder Theory of Capital Structure597

How the Costs Imposed on Stakeholders Affect the Capital Structure Choice598

Financial Distress and Reputation601

Whom Would You Rather Work For?603

17.2 The Benefits of Financial Distress with Committed Stakeholders604

Summary of the Stakeholdre Theory604

Bargaining with Unions605

Bargaining with the Govemment606

17.3 Capital Structure and Competitive Strategy607

Does Debt Make Firms More or Less Aggressive Competitors?607

Debt and Predation609

Empirical Studies of the Relationship between Debt Financing and Market Share610

17.4 Dynamic Capital Structure Considerations611

The Pecking Order of Financing Choices612

An Explanation Based on Management Incentives613

An Explanation Based on Managers Having More Information Than Investors613

An Explanation Based on the Stakeholder Theory613

An Explanation Based on Debt Holder-Equity Holder Conflicts614

17.5 Empirical Evidence on the Capital Structure Choice616

17.6 Summary and Conclusions617

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 Control627

18 How Managerial Incentives Affect Financial Decisions627

18.1 The Separation of Ownership and Control629

Whom Do Managers Represent?629

What Factors Influence Managerial Incentives?629

How Management Incentive Problems Hurt Shareholder Value630

Why Shareholders Cannot Control Managers630

Changes in Corporate Governance632

Do Corporate Governance Problems Differ Across Countries?633

18.2 Management Shareholdings and Market Value634

The Effect of Management Shareholdings on Stock Prices634

Management Shareholdings and Firm Value:The Empirical Evidence635

18.3 How Management Control Distorts Investment Decisions636

The Investment Choices Managers Prefer636

Outside Shareholders and Managerial Discretion638

18.4 Capital Structure and Managerial Control639

The Relation between Shareholder Control and Leverage639

How Leverage Affects the Level of Investment640

A Monitoring Role for Banks642

A Monitoring Role for Private Equity643

18.5 Esecutive Compensation643

The Agency Problem644

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 Pay649

Compensation Issues,Mergers,and Divestitures650

18.6 Summary and Conclusions651

19 The Information Conveyed by Financial Decisions656

第19章 财务决策的信息含义656

Conflicts between Short-Term and Long-Term Share Price Maximization658

19.1 Management Incentives When Managers Have Better Information Than Shareholders658

19.2 Earnings Manipulation660

Incentives to Increase or Decrease Accounting Earnings661

19.3 Shortsighted Investment Choices662

Management s Reluctance to Undertake Long-Term Investments662

What Determines a Manager s Incentive to Be Shortsighted?663

19.4 The Information Content of Dividend and Share Repurchase Announcements664

Empirical Evidence on Stock Returns at the Time of Dividend Announcements664

A Dividend Signaling Model664

Dividend Policy and Investment Incentives668

Dividends Attract Attention670

19.5 The Information Content of the Debt-Equity Choice671

A Signaling Model Based on the Tax Gain／Financial Distress Cost Trade-Off671

Adverse Selection Theory674

19.6 Empirical Evidence678

What Is an Event Study?678

Event Study Evidence680

How Does the Availability of Cash Affect Investment Expenditures?684

19.7 Summary and Conclusions685

第20章 兼并和收购691

20 Mergrs and Acquisitions691

20.1 A History of Mergers and Acquisitions692

Strategic Acquisitions694

20.2 Types of Mergers and Acquisitions694

Financial Acquisitions695

Conglomerate Acquisitions695

Summary of Mergers and Acquisitions696

The Demise of Hostile Takeovers and LBOs in the 1990S697

20.3 Recent Trends in Takeover Activity697

Cross Border Acquisitions698

20.4 Sources of Takeover Gains698

Tax Motivations698

Operating Synergies699

Management Incentive Issues and Takeovers701

Financial Synergies703

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

20.5 The Disadvantages of Mergers and Acquisitions705

Mergers Can Reduce the Information Contained in Stock Prices706

A Summary of the Gains and Costs of Diversification706

Conglomerates Can Misallocate Capital706

20.6 Empirical Evidence on Takeover Gains for Non-LBO Takeovers707

Stock Returns around the Time of Takeover Announcements707

Empirical Evidence on the Gains to Diversification710

Accounting Studies711

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

How Leveraged Buyouts Affect Stock Prices712

Cash Flow Changes Following Leveraged Buyouts713

20.8 Valuing Acquisitions714

Valuing Synergies715

A Guide to the Valuation of Synergies716

20.9 Financing Acquisitions719

Tax Implications of the Financing of a Merger or an Acquisition719

Acquisition719

Accounting Implications of the Financing of a Merger or an Acquisition720

Capital Structure Implications in the Financing of a Merger or an Acquisition722

Information Effects from the Financing of a Merger or an Acquisition722

20.10 Bidding Strategies in Hostile Takeovers722

The Free-Rider Problem722

Solutions to the Free-Rider Problem724

20.11 Management Defenses727

Poison Pills728

Antitakeover Laws728

Staggered Boards and Supermajority Rules728

Are Takeover Defenses Good for Shareholders?729

20.12 Summary and Conclusions729

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 Strategy739

PARTⅥ Risk Management740

21.1 Risk Management and the Modigliani-Miller Theorem740

Implications of the Modigliani-Miller Theorem for Hedging741

The Investor s Hedging Choice741

Relaxing the Modigliani-Miller Assumptions742

A Simple Analogy743

21.2 Why Do Firms Hedge?743

How Does Hedging Increase Expected Cash Flows?743

How Hedging Reduces Taxes744

Hedging to Avoid Financial Distress Costs745

Hedging to Help Firms Plan for Their Capital Needs748

How Hedging Improves Executive Compensation Contracts and Performance Evaluation749

How Hedging Improves Decision Making751

21.3 The Motivation on Hedge Affects What Is Hedged754

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 Holders756

21.6 How Hedging Affects the Firm s Stakeholders756

How Hedging Affects Employees and Customers756

Hedging and Managerial Incentives757

21.7 The Motivation to Manage Interest Rate Risk758

Aiternative Liability Streams758

How Do Corporations Choose between Different Liability Streams?760

21.8 Foreign Exchange Risk Management761

Types of Foreign Exchange Risk761

Why Do Exchange Rates Change?763

Why Most Firms Do Not Hedge Economic Risk766

21.9 Which Firms Hedge? The Empirical Evidence767

Firms with More Growth Opportunities Are More Likely to Use Derivatives768

Larger Firms Are More Likely to Use Derivatives Than Smaller Firms768

Highly Levered Firms Are More Likely to Use Derivatives768

Risk Management Practices in the Oil and Gas Industry769

Risk Management Practices in the Gold Mining Industry769

21.10 Summary and Conclusions769

第22章 套期保值实践773

22 The Practice of Hedging773

22.1 Measuring Risk Exposure774

Using Regression to Estimate the Risk Exposure775

Measuring Risk Exposure with Simulations775

Prespecification of Factor Betas from Theoretical Relations776

Volatility as a Measure of Risk Exposure776

Value at Risk as a Measure of Risk Exposure777

How Forward-Date Obligations Create Risk779

Review of Forward Contracts779

Using Forwards to Eliminate the Oil Price Risk of Forward Obligations779

22.2 Hedging Short-Term Commitments with Maturity-Matched Forward Contracts779

Using Forward Contracts to Hedge Currency Obligations781

Review of Futures Contracts, Marking to Market, and Futures Prices783

Tailing the Futures Hedge783

22.3 Hedging Short-Term Commitments with Maturity-Matched Futures Contracts783

22.4 Hedging and Convenience Yields785

When Convenience Yields Do Not Affect Hedge Ratios786

How Supply and Demand for Convenience Determine Convenience Yields786

Hedging the Risk from Holding Spot Positions in Commodities with Convenience Yields787

22.5 Hedging Long-Dated Commitments with Short-Maturing Futures or Forward Contracts788

Maturity,Risk,and Hedging in the Presence of a Constant Convenience Yield789

Quantitative Estimates of the Oil Futures Stack Hedge Error791

Intuition for Hedging with a Maturity Mismatch in the Presence of a Constant Convenience Yield792

Convenience Yield Risk Generated by Correlation between Spot Prices and Convenience Yields793

Basis Risk794

22.6 Hedging with Swaps795

Review of Swaps795

Hedging with Interest Rate Swaps796

Hedging with Currency Swaps798

22.7 Hedging with Options799

Why Option Hedging Is Desirable799

Covered Option Hedging:Caps and Floors800

Delta Hedging with Options803

Computing Factor Betas for Cash Flow Combinations805

Computing Hedge Ratios805

22.8 Factor-Based Hedging805

Direct Hedge Ratio Computations:Solving Systems of Equations806

22.9 Hedging With Regression807

Hedging a Cash Flow with a Single Financial Instrument808

Hedging with Multiple Regression809

22.10 Minimum Variance Portfolios and Mean-Variance Analysis810

Hedging to Arrive at the Minimum Variance Portfolio810

Hedging to Arrive at the Tangency Portfolio811

22.11 Summary and Conclusions812

23 Interest Rate Risk Management818

第23章 利率风险管理818

Methods Used to Compute DVOI for Traded Bonds820

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

Using DVOI to Estimate Price Changes822

DVOIs of Various Bond Types and Portfolios822

Using DVOIs to Hedge Interest Rate Risk823

How Compounding Frequency Affects the Stated DVOI824

The Duration of Zero-Corpon Bonds826

The Duration of Coupon Bonds826

23.2 Duration826

Durations of Discount and Premium-Coupon Bonds827

How Duration Changes as Time Elapses827

Durations of Bond Portfolios827

How Duration Changes as Interest Rates Increase829

23.3 Linking Duration to DVOI830

Duration as a Derivative830

Formulas Relating Duration to DVOI831

Hedging with DVOIs or Durations832

Ordinary Immunization834

23.4 Immunization834

Immunization Using DVOI837

Practical Issues to Consider838

Contingent Immunization838

Immunization and Large Changes in Interest Rates838

23.5 Convexity839

Defining and Interpreting Convexity839

Estimating Price Sensitivity to Yield840

Misuse of Convexity841

23.6 Interest Rate Hedging When the Term Structure Is Not Flat845

The Yield-Beta Solution846

The Parallel Term Structure Shift Solution:Term Structure DVOI847

MacAuley Duration and Present Value Duration847

Present Value Duration as a Derivative849

23.7 Summaty and Conclusions850

Appendix A Mathematical Tables856

Index865