Financial markets and corporate strategy:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
London [u.a]
McGraw-Hill Irwin
2008
|
| Ausgabe: | European Edition |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | XXIII, 915 S. graph. Darst. |
| ISBN: | 0077119029 9780077119027 |
Internformat
MARC
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| 245 | 1 | 0 | |a Financial markets and corporate strategy |c David Hillier, Mark Grinblatt and Sheridan Titman |
| 250 | |a European Edition | ||
| 264 | 1 | |a London [u.a] |b McGraw-Hill Irwin |c 2008 | |
| 300 | |a XXIII, 915 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1805071524216963072 |
|---|---|
| adam_text |
Detailed Table of Contents
PART
1
Financial Markets and
Financial Instruments
/
1
Raising Capital: the Process and the
Players
3
1.1
Financing the Firm
4
Decisions Facing the Firm
5
Who has the Biggest Capital Markets?
6
1.2
Public and Private Sources of Capital
7
1.3
The Environment for Raising Capital
9
The Legal Environment
9
Investment Banks
//
The Underwriting Process
//
The Underwriting Agreement
12
Classifying Offerings
13
The Costs of Debt and Equity Issues
13
Types of Underwriting Arrangements
13
1.4
Raising Capital in International
Markets
18
Euromarkets
18
Direct Issuance
18
1.5
Major Financial Markets outside the
United States
18
Germany
18
Japan
20
United Kingdom
22
China
24
1.6
Trends in Raising Capital
25
Globalization
25
Deregulation
25
Innovative Instruments
25
Technology
26
Securitization
26
1.7
Summary and Conclusions
26
References and Additional Readings
29
2
Debt Financing
31
2.1
Bank Loans
32
Types of Bank Loan
33
Floating Rates
33
Loan Covenants
34
2.2
Leases
34
2.3
Commercial Paper
36
Who Sells Commercial Paper?
36
Buyback Provisions
36
2.4
Corporate Bonds
37
Bond Covenants
38
Bond Options
40
Cash Flow Pattern
44
Bond Prices: Par, Discount and
Premium Bonds
46
Maturity
46
Bond Ratings
48
The High-Yield Debt Market
49
2.5
Asset-Backed Securities
51
2.6
More Exotic Securities
52
Tax and Regulatory Frictions as
Motivators 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
2.7
Raising Debt Capital in the
Euromarkets
54
Features of Eurobonds
54
Size and Growth of the Eurobond
Market and the Forces behind the
Growth
54
Eurocurrency Loans
55
2.8
Primary and Secondary Markets for
Debt
56
The Primary and Secondary Market for
Treasury Securities
56
The Primary and Secondary Market for
Corporate Bonds
56
2.9
Bond Prices, Yields to Maturity and
Bond Market Conventions
57
Settlement Dates
59
Accrued Interest
59
Yields to Maturity and Coupon Yields
62
2.10
Summary and Conclusions
64
References and Additional Readings
67
3
Equity Financing
69
3.1
Types of Equity Securities
70
Common Stock
70
Preferred Stock
71
Warrants
73
Volume of Global Equity Financing
73
3.2
Shareholder Ownership around the
World
73
3.3
The Globalization of Equity
Markets
74
3.4
Secondary Markets for Equity
75
Types of Secondary Market for Equity
75
Exchanges
76
Electronic Communication Networks
(ECNs)
76
VII
viii
Chapter
Detailed Table of Contents
3.5
Equity Market Informational
Efficiency and Capital Allocation
76
3.6
Private Equity
77
3.7
The Decision to Issue Shares
Publicly
78
Demand- and Supply-Side Explanations
for IPO Cycles
79
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
83
The Underpricing of IPOs
83
What are the Long-Term Returns of
IPOs?
83
3.9
What Explains Underpricing?
84
How Do I Get These Underpriced
Shares?
84
The Incentives of Underwriters
84
The Case Where the 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
86
References and Additional Readings
89
PART II Valuing Financial Assets
4
Portfolio Tools
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
Variances and Standard Deviations
105
Return Variances
105
Estimating Variances: Statistical Issues
106
Standard Deviation
107
4.5
Covariances and Correlations
107
Covariance
107
4.6
Variances of Portfolios and
Covariances between Portfolios
no
Variances for Two-Stock Portfolios
110
Correlations, Diversification and
Portfolio Variances
112
Portfolios of Many Stocks
115
Covariances between Portfolio Returns
and Stock Returns
7/6
4.7
The Mean-Standard Deviation
Diagram
/76
Combining a Risk-Free Asset with
a Risky Asset in the Mean-Standard
Deviation Diagram
117
Portfolios of Two Perfectly Positively
Correlated or Perfectly Negatively
Correlated Assets
119
The Feasible Means and Standard
Deviations from Portfolios of Other
Pairs of Assets
120
4.8
Interpreting the Covariance as a
Marginal Variance
72 7
A Proof Using Derivatives from
Calculus
121
Numerical Interpretations of the
Marginal Variance Result
722
4.9
Finding the Minimum Variance
Portfolio
724
Properties of a Minimum Variance
Portfolio
124
Identifying the Minimum Variance
Portfolio of Two Stocks
725
Identifying the Minimum Variance
Portfolio of Many Stocks
726
4.10
Summary and Conclusions
727
References and Additional Readings
133
5
Mean-Variance Analysis and the
Capital Asset Pricing Model
134
5.1
Applications of Mean-Variance
Analysis and the CAPM in Use Today
736
Investment Applications of
Mean-Variance Analysis and the
CAPM
136
Corporate Applications of
Mean-Variance Analysis and the CAPM
136
5.2
The Essentials of Mean-Variance
Analysis
136
The Feasible Set
136
The Assumptions of Mean-Variance
Analysis
137
5.3
The Efficient Frontier and
Two-Fund Separation
139
The Quest for the Holy Grail: Optimal
Portfolios
139
Two-Fund Separation
139
5.4
The Tangency Portfolio and
Optimal Investment
141
Optimal Investment when a Risk-Free
Asset Exists
141
Identification of the Tangency Portfolio
144
5.5
Finding the Efficient Frontier of
Risky Assets
146
5.6
How Useful Is Mean-Variance
Analysis for Finding Efficient Portfolios?
147
5.7
The Relation Between Risk and
Expected Return
749
Relevant Risk and the Tangency
Portfolio
749
Betas
750
Marginal Variance versus Total
Variance
752
Detailed Table of Contents
ix
Tracking Portfolios in Portfolio
Management and as a Theme for
Valuation
152
5.8
The Capital Asset Pricing Model
154
Assumptions of the CAPM
154
The Conclusion of the CAPM
154
The Market Portfolio
155
Why the Market Portfolio is the
Tangency Portfolio
155
Implications for Optimal Investment
/56
5.9
Estimating Betas, Risk-Free
Returns, Risk Premiums and the
757
Market Portfolio
157
Risk-Free or Zero-Beta Returns
158
Beta Estimation and Beta Shrinkage
158
Improving the Beta Estimated from
Regression
158
Estimating the Market Risk Premium
161
Identifying the Market Portfolio
161
5.10
Empirical Tests of the Capital
Asset Pricing Model
161
Can the CAPM Really be Tested?
162
Is the Value-Weighted Market Index
Mean-Variance Efficient?
163
Cross-Sectional Tests of the CAPM
163
Time-Series Tests of the CAPM
165
Results of the Cross-Sectional and
Time-Series Tests: Size, Market-to-Book
and Momentum
/66
International Evidence
/69
Interpreting the CAPM's Empirical
Shortcomings
/69
Are these CAPM Anomalies
Disappearing?
170
5.11
Summary and Conclusions
172
References and Additional Readings
177
6
Factor Models and the Arbitrage
Pricing Theory
180
6.1
The Market Model: the First Factor
Model
182
The Market Model Regression
182
The Market Model Variance
Decomposition
183
Diversifiable Risk and Fallacious CAPM
Intuition
184
Residual Correlation and Factor
Models
185
6.2
The Principle of Diversification
185
Insurance Analogies to Factor Risk and
Firm-Specific Risk
186
Quantifying the Diversification of
Firm-Specific Risk
186
6.3
Multifactor Models
187
The Multifactor Model Equation
187
Interpreting Common Factors
188
6.4
Estimating the Factors
188
Using Factor Analysis to Generate
Factor Portfolios
189
Using Macroeconomic Variables to
Generate Factors
189
Using Characteristic-Sorted Portfolios
to Estimate the Factors
190
6.5
Factor Betas
191
What Determines Factor Betas?
191
Factor Models for Portfolios
191
6.6
Using Factor Models to Compute
Covariances and Variances
193
Computing Covariances in a
One-Factor Model
193
Computing Covariances from Factor
Betas in a Multifactor Model
194
Factor Models and Correlations
between Stock Returns
195
Applications of Factor Models to
Mean-Variance Analysis
195
Using Factor Models to Compute
Variances
195
6.7
Factor Models and Tracking
Portfolios
/96
Tracking Portfolios and Corporate
Hedging
197
Capital Allocation Decisions of
Corporations and Tracking Portfolios
197
Designing Tracking Portfolios
197
6.8
Pure Factor Portfolios
199
Constructing Pure Factor Portfolios
from More Primitive Securities
199
The Risk Premiums of Pure Factor
Portfolios
200
6.9
Tracking and Arbitrage
201
Using Pure Factor Portfolios to Track
the Returns of a Security
202
The Expected Return of the Tracking
Portfolio
202
Decomposing Pure Factor Portfolios
into Weights on More Primitive
Securities
203
6.10
No Arbitrage and Pricing: the
Arbitrage Pricing Theory
203
The Assumptions of the Arbitrage
Pricing Theory
204
Arbitrage Pricing Theory with No
Firm-Specific Risk
204
Graphing the APT Risk-Return
Equation
205
Verifying the Existence of Arbitrage
205
The Risk-Expected Return Relation for
Securities with Firm-Specific Risk
208
Violations of the APT Equation by
Large Numbers of Stocks Imply
Arbitrage
209
6.11
Estimating Factor Risk Premiums
and Factor Betas
210
Chapter
Detailed Table of Contents
6.12
Empirical Tests of the Arbitrage
Pricing Theory
210
Empirical Implications of the APT
27 7
Evidence from Factor Analysis Studies
27 7
Evidence from Studies with
Macroeconomic Factors
2/7
Evidence from Studies that Use Firm
Characteristics
212
6.13
Summary and Conclusions
2 72
References and Additional Readings
2 76
7
Pricing Derivatives
2 79
7.1
Examples of Derivatives
22 7
Forwards and Futures
22 7
Swaps
225
Options
227
Real Assets
23 7
Mortgage-Backed Securities
23 7
Structured Notes
232
7.2
The Basics of Derivatives Pricing
232
Perfect Tracking Portfolios
232
No Arbitrage and Valuation
233
Applying the Basic Principles of
Derivatives Valuation to Value
Forwards
233
73
Binomial Pricing Models
237
Tracking and Valuation: Static versus
Dynamic Strategies
237
Binomial Model Tracking of a
Structured Bond
238
Using Tracking Portfolios to Value
Derivatives
239
Risk-Neutral Valuation of Derivatives:
the Industry Approach
242
7
A Multiperiod Binomial Valuation
248
How Restrictive is the Binomial
Process in a Multiperiod Setting?
248
Numerical Example of Multiperiod
Binomial Valuation
249
Algebraic Representation of
Two-Period Binomial Valuation
250
7.5
Valuation Techniques in the
Financial Services Industry
257
Numerical Methods
25 7
The Risk-Free Rate Used by Industry
Practitioners
253
7.6
Market Frictions and Lessons from
the Fate of Amaranth Advisors
253
7.7
Summary and Conclusions
254
References and Additional Readings
260
8
Options
26 7
8.1
A Description of Options and
Options Markets
262
European and American Options
262
The Four Features of Options
263
8.2
Option Expiration
263
8.3
Put-Call Parity
264
Put-Call Parity and Forward Contracts:
Deriving the Formula
264
Put-Call Parity and a Minimum Value
for a Call
267
Put-Call Parity and the Pricing and
Premature Exercise of American Calls
26Ő
Put-Call Parity and Corporate
Securities as Options
277
Put-Call Parity and Portfolio Insurance
273
8.4
Binomial Valuation of European
Options
275
8.5
Binomial Valuation of American
Options
277
American Puts
278
Valuing American Options on
Dividend-Paying Stocks
280
8.6
Black-Scholes Valuation
280
Black-Scholes Formula
2Ő7
Dividends and the Black-Scholes Model
282
8.7
Estimating Volatility
283
Using Historical Data
283
The Implied Volatility Approach
285
8.8
Black-Scholes Price Sensitivity to
Stock Price, Volatility,
Interest Rates and Expiration Time
2Ő6
Delta: the Sensitivity to Stock Price
Changes 2S6
Black-Scholes Option Values and
Stock Volatility
287
Option Values and Time to Option
Expiration
288
Option Values and the Risk-Free
Interest Rate
288
A Summary of the Effects of the
Parameter Changes
288
8.9
Valuing Options on More
Complex Assets
289
The Forward Price Version of the
Black-Scholes Model
289
Computing Forward Prices from Spot
Prices
289
Applications of the Forward Price
Version of the Black-Scholes Formula
290
American Options
290
American Call and Put Currency
Options
292
8.10
Empirical Biases in the Black-
Scholes Formula
292
8.11
Summary and Conclusions
294
References and Additional Readings
297
PART III Valuing Real Assets
9
Discounting and Valuation
305
9.1
Cash Flows of Real Assets
306
Unlevered Cash Flows
307
Creating
Pro-Forma
Forecasts of
Financial Statements
3 72
Detailed Table of Contents
XI
9.2
Using Discount Rates to Obtain
Present Values
317
Single-Period Returns and their
Interpretation
317
Rates of Return in a Multiperiod
Setting
318
Value Additivity and Present Values of
Cash Flow Streams
320
Inflation
321
Annuities and Perpetuities
322
Simple Interest
327
Time Horizons and Compounding
Frequencies
328
9.3
Summary and Conclusions
331
References and Additional
Readings
337
10
Investing in Risk-Free Projects
338
10.1
Cash Flows
340
10.2
Net Present Value
340
Discounted Cash Flow and Net
Present Value
340
Project Evaluation with the Net
Present Value Rule
342
Present Values and Net Present Values
Have the Value Additivity Property
344
Using AW with Capital Constraints
347
Using NPV to Evaluate Projects that Can
Be Repeated over Time
348
10.3
Economic Value Added (EVA)
349
10.4
Using NPV for Other Corporate
Decisions
351
10.5
Evaluating Real Investments with
the Internal Rate of Return
352
Intuition for the
IRR
Method
353
Numerical Iteration of the
IRR 354
NPV and Examples of
IRR 354
Term Structure Issues
358
Cash Flow Sign Patterns and the
Number of Internal Rates of Return
358
Sign Reversals and Multiple Internal
Rates of Return
362
Mutually Exclusive Projects and the
Internal Rate of Return
363
10.6
Popular but Incorrect Procedures
for Evaluating Real Investments
365
The Payback Method
365
The Accounting Rate of Return
Criterion
365
10.7
Summary and Conclusions
366
References and Additional Readings
371
Appendix
1
0A The Term Structure Of
Interest Rates
372
10A.1 Term Structure Varieties
372
10A.2 Spot Rates, Annuity Rates and
Par Rates
372
References and Additional Readings
for Appendix 10A
378
11
Investing in Risky Projects
379
11.1
Tracking Portfolios and Real
Asset Valuation
382
Asset Pricing Models and the Tracking
Portfolio Approach
382
Implementing the Tracking Portfolio
Approach
384
Linking Financial Asset Tracking to
Real Asset Valuation with the SML
384
11.2
The Risk-Adjusted Discount Rate
Method
385
Defining and Implementing the
Risk-Adjusted Discount Rate Method
with Given Betas
385
The Tracking Portfolio Method is
Implicit in the Risk-Adjusted Discount
Rate Method
387
11.3
The Effect of Leverage on
Comparisons
387
The Balance Sheet for an All-Equity-
Financed Firm
388
The Balance Sheet for a Firm Partially
Financed with Debt
388
The Right-Hand Side of the Balance
Sheet as a Portfolio
388
Distinguishing Risk-Free Debt from
Default-Free Debt
389
Graphs and Numerical Illustrations of
the Effect of Debt on Risk
390
11.4
Implementing the Risk-Adjusted
Discount Rate Formula with
Comparison Firms
391
The CAPM, the Comparison Method
and Adjusting for Leverage
392
Obtaining a Cost of Capital from the
Arbitrage Pricing Theory (APT)
393
Costs of Capital Computed with
Alternatives to CAPM and APT:
Dividend Discount Models
394
What if No Pure Comparison Firm
Exists?
397
11.5
Pitfalls in Using the Comparison
Method
397
Project Betas are Not the Same as Firm
Betas
398
Growth Opportunities are Usually the
Source of High Betas
399
Multiperiod Risk-Adjusted Discount Rates
401
Empirical Failures of the CAPM and
APT
404
What if No Comparable Line of
Business Exists?
405
11.6
Estimating Beta from Scenarios:
the Certainty Equivalent Method
409
Defining the Certainty Equivalent
Method
409
Identifying the Certainty Equivalent
from Models of Risk and Return
410
xii
Chapter
Detailed Table of Contents
The CAPM, Scenarios and the Certainty
Equivalent Method
412
The APT and the Certainty Equivalent
Method 4T3
The Relation between the Certainty
Equivalent Formula and the Tracking
Portfolio Approach
413
11.7
Obtaining Certainty Equivalents
with Risk-Free Scenarios
4
ы
A Description of the Risk-Free Scenario
Method
4/4
Implementing the Risk-Free Scenario
Method in a Multiperiod Setting
417
Providing Certainty Equivalents
without Knowing it
419
11.8
Computing Certainty Equivalents
from Prices in Financial Markets
419
Forward Prices
419
Tracking Portfolios That Contain
Forward Contracts
419
11.9
Summary and Conclusions
420
References and Additional Readings
424
Appendix
11
A
425
Statistical Issues in Estimating the
Cost of Capital for the Risk-Adjusted
Discount Rate Method
425
1
1A.1 Estimation Error and
Denominator-Based Biases in Present
Value Estimates
425
1
1A.2 Geometric versus Arithmetic
Means and the Compounding-Based
Bias
426
References and Additional Readings
for Appendix 11A
429
12
Allocating Capital and Corporate
Strategy
430
12.1
Sources of Positive Net Present
Value
431
Sources of Competitive Advantage
432
Economies of Scope, Discounted Cash
Flow and Options
433
Option Pricing Theory as a Tool for
Quantifying Economies of Scope
433
12.2
Valuing Strategic Options with
the Real Options Methodology
434
Valuing a Mine with No Strategic
Options
434
Valuing a Mine with an Abandonment
Option
437
Valuing Vacant Land
440
Valuing the Option to Delay the Start
of a Manufacturing Project
442
Valuing the Option to Expand
Capacity
445
Valuing Flexibility in Production
Technology: the Advantage of Being
Different
446
12.3
The Ratio Comparison Approach
448
The Price/Earnings Ratio Method
451
When Comparison Investments are
Hidden in Multibusiness Firms
451
The Effect of Earnings Growth and
Accounting Methodology on Price/
Earnings Ratios
452
The Effect of Leverage on Price/Earnings
Ratios
453
Adjusting for Leverage Differences
455
12.4
The Competitive Analysis
Approach
455
Determining a Division's Contribution
to Firm Value
456
Disadvantages of the Competitive
Analysis Approach
456
12.5
When to Use the Different
Approaches
456
Can these Approaches be Implemented?
457
Valuing Asset Classes versus Specific
Assets
457
Tracking Error Considerations
457
Other Considerations
457
12.6
Summary and Conclusions
458
References and Additional Readings
463
13
Corporate Taxes and the Impact of
Financing on Real Asset Valuation
466
13.1
Corporate Taxes and the
Evaluation of Equity-Financed
Capital Expenditures
46Ő
The Cost of Capital
468
The Risk of the Components of
the Firm's Balance Sheet with
Tax-Deductible Debt Interest
469
Identifying the Unlevered Cost of
Capital
471
13.2
The Adjusted Present Value
Method
473
Three Sources of Value Creation for
Shareholders
473
Debt Capacity
474
The
APV
Method is Versatile and
Usable with Many Valuation
Techniques
475
13.3
The Weighted Average Cost of
Capital
481
Valuing a Business with the WACC
Method when a Debt Tax Shield
Exists
481
WACC Components: the Cost of Equity
Financing
482
WACC Components: the Cost of Debt
Financing
482
Determining the Costs of Debt and
Equity when the Project is Adopted
484
The Effect of Leverage on a Firm's
WACC when there are no Taxes
485
Detailed Table of Contents
XIII
The Effect of Leverage on a Firm's
WACC with a Debt Interest Corporate
Tax Deduction
486
Evaluating Individual Projects with the
WACC Method
490
13.4
Discounting Cash Flows to Equity
Holders
493
Positive NPV Projects Can Reduce
Share Prices when Transfers to Debt
Holders Occur
493
Computing Cash Flows to Equity
Holders
494
Valuing Cash Flow to Equity Holders
495
Real Options versus the Risk-Adjusted
Discount Rate Method
496
13.5
Summary and Conclusions
496
References and Additional Readings
500
PART IV Capital Structure
14
How Taxes Affect Financing
Choices
507
14.1
The
Modigliani-Miller
Theorem
508
Slicing the Cash Flows of the Firm
508
Proof of the
Modigliani-Miller
Theorem
5Ю
Assumptions of the
Modigliani-Miller
Theorem
511
14.2
How an Individual Investor Can
'Undo' a Firm's Capital Structure
Choice
5/3
14.3
How Risky Debt Affects the
Modigliani-Miller
Theorem
513
The
Modigliani-Miller
Theorem with
Costless Bankruptcy
513
Leverage Increases and Wealth
Transfers
514
14.4
How Corporate Taxes Affect the
Capital Structure Choice
5/6
How Debt Affects After-Tax Cash
Flows
517
How Debt Affects the Value of the Firm
517
14.5
How Personal Taxes Affect
Capital Structure
519
The Effect of Personal Taxes on Debt
and Equity Rates of Return
520
Capital Structure Choices when
Taxable Earnings can be Negative
523
14.6
Taxes and Preference Shares
526
14.7
The Effect of Inflation on the Tax
Gain from Leverage
526
14.8
The Empirical Implications of the
Analysis of Debt and Taxes
527
Do Firms with More Taxable Earnings
Use More Debt Financing?
527
14.9
Are There Tax Advantages to
Leasing?
528
Operating Leases and Capital Leases
528
The After-Tax Costs of Leasing and
Buying Capital Assets
529
14.10
Summary and Conclusions
531
References and Additional Readings
535
APPENDIX 14A
537
How Personal Taxes Affect the Capital
Structure Choice: the Miller Equilibrium
537
15
How Taxes Affect Dividends and
Share Repurchases
539
15.1
How Much of Corporate
Earnings is Distributed to
Shareholders?
540
Aggregate Dividend Payouts
540
Dividend Policies of Selected Firms
541
15.2
Distribution Policy in Frictionless
Markets
542
The
Miller-Modigliani
Dividend
Irrelevancy Theorem
542
Optimal Payout Policy in the Absence
of Taxes and Transaction Costs
544
15.3
The Effect of Taxes and
Transaction Costs on Distribution
Policy
545
A Comparison of the Classical and
Imputation Tax Systems
546
The Tax System in the United
Kingdom
546
Other Tax Systems
547
How Taxes Affect Dividend Policy
547
Dividend Clienteles
548
Why do Corporations Pay Out So
Much in Taxed Dividends?
549
15.4
How Dividend Policy Affects
Expected Stock Returns
550
Ex-Dividend Stock Price Movements
550
The Cross-Sectional Relation between
Dividend Yields and Stock Returns
552
15.5
How Dividend Taxes Affect
Financing and Investment Choices
553
Dividends, Taxes and Financing
Choices
553
Dividends, Taxes and Investment
Distortions
553
15.6
Personal Taxes, Payout Policy
and Capital Structure
559
15.7
Summary and Conclusions
560
References and Additional Readings
563
16
Bankruptcy Costs and Debt Holder-
Equity Holder Conflicts
566
16.1
Bankruptcy
56Ő
Bankruptcy in the United Kingdom
56б
Bankruptcy in Other Countries
569
The Direct Costs of Bankruptcy
569
16.2
Debt Holder-Equity Holder
Conflicts: an Indirect Bankruptcy Cost
571
xiv
Chapter
Detailed Table of Contents
Equity Holder Incentives
577
The Debt Overhang Problem
572
The Shortsighted Investment Problem
576
The Asset Substitution Problem
578
The Incentives of a Firm to Take
Higher Risks: the Case of Unistar
578
How Do Debt Holders Respond to
Shareholder Incentives?
579
The Reluctance to Liquidate Problem
585
16.3
How Administration Mitigates
Debt Holder-Equity Holder
Incentive Problems
588
16.4
How Can Firms Minimize Debt
Holder-Equity Holder
Incentive Problems?
589
Protective Covenants
590
Bank and Privately Placed Debt
592
The Use of Short-Term versus
Long-Term Debt
593
Security Design: the Use of
Convertibles
594
The Use of Project Financing
594
Management Compensation
Contracts
595
16.5
Empirical Implications for
Financing Choices
596
How Investment Opportunities
Influence Financing Choices
596
How Financing Choices Influence
Investment Choices
596
Firm Size and Financing Choices
597
Evidence from Bank-Based Economies
597
16.6
Summary and Conclusions
598
References and Additional Readings
602
17
Capital Structure and Corporate
Strategy
606
17.1
The Stakeholder Theory of
Capital Structure
60S
Non-Financial Stakeholders
608
How the Costs Imposed on
Stakeholders Affect the Capital
Structure Choice
609
Financial Distress and Reputation
611
Who Would You Rather Work For?
6 73
Summary of the Stakeholder Theory
6 74
17.2
The Benefits of Financial Distress
with Committed Stakeholders
6 75
Bargaining with Unions
6/5
Bargaining with the Government
6 76
17.3
Capital Structure and Competitive
Strategy
6 77
Does Debt Make Firms More or Less
Aggressive Competitors?
677
Debt and
Prédation
618
Empirical Studies of the Relationship
between Debt Financing and Market
Share
679
17.4
Dynamic Capital Structure
Considerations
62 7
The Pecking Order of Financing
Choices
622
An Explanation Based on Management
Incentives
623
An Explanation Based on Managers
Having More Information than
Investors
623
An Explanation Based on the
Stakeholder Theory
623
An Explanation Based on Debt
Holder-Equity Holder Conflicts
623
Market Timing Behaviour of
Managers
625
17.5
Empirical Evidence on the
Capital Structure Choice
625
Market Timing Versus Pecking Order
626
17.6
Summary and Conclusions
628
References and Additional Readings
63 7
PART V Incentives, Information and
Corporate Control
18
How Managerial Incentives Affect
Financial Decisions
639
18.1
The Separation of Ownership
and Control
640
Whom Do Managers Represent?
64 7
What Factors Influence Managerial
Incentives?
64 7
How Management Incentive Problems
Hurt Shareholder Value
642
Why Shareholders Cannot Control
Managers
642
Changes in Corporate Governance
645
Do Corporate Governance Problems
Differ Across Countries?
647
18.2
Management Shareholdings and
Market Value
647
The Effect of Management
Shareholdings on Stock Prices
649
Management Shareholdings and Firm
Value: The Empirical Evidence
650
18.3
How Management Control
Distorts Investment Decisions
65 7
The Investment Choices Managers
Prefer
65 7
Outside Shareholders and Managerial
Discretion
653
18.4
Capital Structure and Managerial
Control
654
The Relation between Shareholder
Control and Leverage
654
How Leverage Affects the Level of
Investment
655
A Monitoring Role for Banks
657
A Monitoring Role for Private Equity 65S
Detailed Table of Contents
xv
18.5
Executive Compensation
658
The Agency Problem
658
Is Executive Pay Closely Tied to
Performance?
660
Post-Enron Changes
66/
How Does Firm Value Relate to the
Use of Performance-Based Pay?
662
Is Executive Compensation Tied to
Relative Performance?
663
Stock-Based versus Earnings-Based
Performance Pay
663
Compensation Issues, Mergers and
Divestitures
665
18.6
Summary and Conclusions
667
References and Additional Readings
670
19
The Information Conveyed by
Financial Decisions
674
19.1
Management Incentives when
Managers have Better
Information than Shareholders
675
Conflicts between Short-Term and
Long-Term Share Price Maximization
676
19.2
Earnings Manipulation 67S
Incentives to Manipulate Accounting
Figures
679
19.3
Shortsighted Investment Choices
679
Management's Reluctance to
Undertake Long-Term Investments 6S0
What Determines a Manager's
Incentive to be Shortsighted?
637
19.4
The Information Content of
Dividend and Share Repurchase
Announcements
681
Empirical Evidence on Stock Returns
at the Time of Dividend
Announcements
681
A Dividend Signalling Model
682
Dividend Policy and Investment
Incentives
6Ő6
Dividends Attract Attention
688
Dividends across Countries
689
19.5
The Information Content of the
Debt-Equity Choice
689
A Signalling Model Based on the Tax
Gain/Financial Distress Cost Trade-Off
689
Adverse Selection Theory
69 7
19.6
Empirical Evidence
696
What is an Event Study?
696
Event Study Evidence
697
Behavioural Explanations
701
How Does the Availability of Cash
Affect Investment Expenditures?
702
19.7
Summary and Conclusions
703
References and Additional Readings
707
20
Mergers and Acquisitions
20.1
A History of Mergers and
Acquisitions
20.2
Types of Mergers and
Acquisitions
Strategic Acquisitions
Financial Acquisitions
Conglomerate Acquisitions
772
773
775
775
775
776
Summary of Mergers and Acquisitions
777
20.3
Recent Trends in Takeover
Activity
777
The Fall and Rise of Hostile
Takeovers 77S
20.4
Sources of Takeover Cains
77Ő
Tax Motivations
779
Operating Synergies
720
Is an Acquisition Required to Realize
Tax Gains, Operating Synergies,
Incentive Gains or Diversification?
725
20.5
The Disadvantages of Mergers
and Acquisitions
725
Conglomerates Can
Misal
locate
Capital
726
Mergers Can Reduce the Information
Contained in Stock Prices
726
A Summary of the Gains and Costs of
Diversification
726
20.6
Empirical Evidence on Takeover
Gains for Non-LBO Takeovers
727
Stock Returns around the Time of
Takeover Announcements
727
Empirical Evidence on the Gains to
Diversification
730
Accounting Studies
730
20.7
Empirical Evidence on the Gains
from Leveraged Buyouts (LBOs)
73 7
How Leveraged Buyouts Affect Stock
Prices
732
Cash Flow Changes Following
Leveraged Buyouts
732
20.8
Valuing Acquisitions
734
Valuing Synergies
734
A Guide to the Valuation of Synergies
735
20.9
Financing Acquisitions
738
Tax Implications of the Financing of a
Merger or an Acquisition
739
Capital Structure Implications in the
Financing of a Merger or an Acquisition
739
Information Effects from the Financing
of a Merger or an Acquisition
739
20.10
Bidding Strategies in Hostile
Takeovers
740
The Free-Rider Problem
740
Solutions to the Free-Rider Problem
74 7
20.11
Management Defences
744
Greenmail
744
Staggered Boards and Supermajority
Rules
744
xvi
Chapter
Detailed Table of Contents
Poison Pills
744
Are Takeover Defences Good for
Shareholders?
745
20.12
Summary and Conclusions
746
References and Additional Readings
749
PART IV Risk Management
21
Risk Management and Corporate
Strategy
757
21.1
Risk Management and the
Modigliani-Miller
Theorem
758
The Investor's Hedging Choice
758
Implications of the
Modigliani-Miller
Theorem for Hedging
759
Relaxing the
Modigliani-Miller
Assumptions
759
21.2
Why Do Firms Hedge?
760
A Simple Analogy
760
How Does Hedging Increase Expected
Cash Flows?
76/
How Hedging Reduces Taxes
762
Hedging to Avoid Financial Distress
Costs
762
Hedging to Help Firms Plan for their
Capital Needs
764
How Hedging Improves Executive
Compensation Contracts and
Performance Evaluation
766
How Hedging Improves Decision
Making
768
21.3
The Motivation to Hedge Affects
What is Hedged
771
21.4
How Should Companies
Organize their Hedging Activities?
771
21.5
Do Risk Management
Departments Always Hedge?
772
21.6
How Hedging Affects the Firm's
Stakeholders
773
How Hedging Affects Debt Holders
and Equity Holders
773
How Hedging Affects Employees and
Customers
773
Hedging and Managerial Incentives
773
21.7
The Motivation to Manage
Interest Rate Risk
774
Alternative Liability Streams
775
How do Corporations Choose
between Different Liability Streams?
776
21.8
Foreign Exchange Risk
Management
778
Types of Foreign Exchange Risk
778
Why do Exchange Rates Change?
779
Why Most Firms do not Hedge
Economic Risk
782
21.9
Which Firms Hedge? The
Empirical Evidence
783
Larger Firms are More Likely
than Smaller Firms to Use
Derivatives
783
Firms with More Growth
Opportunities are More Likely to Use
Derivatives
783
Highly Levered Firms are More Likely
to Use Derivatives
784
Risk Management Practices in the
Gold Mining Industry
784
Risk Management Practices in the Oil
and Gas Industry
784
21.10
Summary and Conclusions
785
References and Additional Readings
788
22
The Practice of Hedging
790
22.1
Measuring Risk Exposure
791
Using Regression to Estimate the Risk
Exposure
792
Measuring Risk Exposure with
Simulations
7.92
Prespecification of Factor Betas from
Theoretical Relations
793
Volatility as a Measure of Risk
Exposure
793
Value at Risk as a Measure of Risk
Exposure
794
22.2
Hedging Short-Term
Commitments with Maturity-Matched
Forward Contracts
795
Review of Forward Contracts
795
How Forward-Date Obligations
Create Risk
796
Using Forwards to Eliminate the Oil
Price Risk of Forward Obligations
796
Using Forward Contracts to Hedge
Currency Obligations
797
22.3
Hedging Short-Term
Commitments with Maturity-Matched
Futures Contracts
799
Review of Futures Contracts, Marking
to Market and Futures Prices
799
Tailing the Futures Hedge
799
22.4
Hedging and Convenience
Yields
801
When Convenience Yields do not
Affect Hedge Ratios
802
How Supply and Demand for
Convenience Determine Convenience
Yields
802
Hedging the Risk from Holding
Spot Positions in Commodities with
Convenience Yields
803
22.5
Hedging Long-Dated
Commitments with Short-Maturing
Futures or Forward Contracts
804
Maturity, Risk and Hedging in the
Presence of a Constant Convenience
Yield
805
Detailed Table of Contents
xvii
Quantitative Estimates of the Oil
Futures Stack Hedge Error
807
Intuition for Hedging with a Maturity
Mismatch in the Presence of a
Constant Convenience Yield
808
Convenience Yield Risk Generated by
Correlation between Spot Prices and
Convenience Yields
808
Basis Risk
810
22.6
Hedging with Swaps
811
Review of Swaps
811
Hedging with Interest Rate Swaps
811
Hedging with Currency Swaps
813
22.7
Hedging with Options
814
Why Option Hedging is Desirable
815
Covered Option Hedging: Caps and
Floors
815
Delta Hedging with Options
818
22.8
Factor-Based Hedging
820
Computing Factor Betas for Cash Flow
Combinations
820
Computing Hedge Ratios
821
Direct Hedge Ratio Computations:
Solving Systems of Equations
821
22.9
Hedging with Regression
823
Hedging a Cash Flow with a Single
Financial Instrument
823
Hedging with Multiple Regression
824
22.10
Minimum Variance Portfolios
and Mean-Variance Analysis
825
Hedging to Arrive at the Minimum
Variance Portfolio
825
Hedging to Arrive at the Tangency
Portfolio
826
22.11
Summary and Conclusions
828
References and Additional Readings
833
23
Interest Rate Risk Management
834
23.1
The Value of a One Basis Point
Decrease (PV01)
835
Methods Used to Compute PV01 for
Traded Bonds
836
Using PV01 to Estimate Price Changes
837
PV01s of Various Bond Types and
Portfolios
837
Using PVOH to Hedge Interest Rate
Risk
838
How Compounding Frequency Affects
the Stated PV0
1 839
23.2
Duration
840
The Duration of Zero-Coupon Bonds
840
The Duration of Coupon Bonds
841
Durations of Discount and Premium-
Coupon Bonds
842
How Duration Changes as Time
Elapses
842
Durations of Bond Portfolios
843
How Duration Changes as Interest
Rates Increase
843
23.3
Linking Duration to PV01
844
Duration as a Derivative
844
Formulas Relating Duration to PV01
846
Hedging with PV01s or Durations
847
23.4
Immunization
848
Ordinary Immunization
848
Immunization Using PVO
7 851
Practical Issues to Consider
851
Contingent Immunization
852
Immunization and Large Changes in
Interest Rates
853
23.5
Convexity
853
Defining and Interpreting Convexity
853
Estimating Price Sensitivity to Yield
855
Misuse of Convexity
855
23.6
Interest Rate Hedging when the
Term Structure is Not Flat
859
The Yield-Beta Solution
859
The Parallel Term Structure Shift
Solution: Term Structure PVO
7 860
MacAuley Duration and Present Value
Duration
860
Present Value Duration as a Derivative
862
23.7
Summary and Conclusions
863
References and Additional Readings
865
Appendix A Mathematical Tables
870
Practical Insights for Financial
Managers
880
Index
883 |
| adam_txt |
Detailed Table of Contents
PART
1
Financial Markets and
Financial Instruments
/
1
Raising Capital: the Process and the
Players
3
1.1
Financing the Firm
4
Decisions Facing the Firm
5
Who has the Biggest Capital Markets?
6
1.2
Public and Private Sources of Capital
7
1.3
The Environment for Raising Capital
9
The Legal Environment
9
Investment Banks
//
The Underwriting Process
//
The Underwriting Agreement
12
Classifying Offerings
13
The Costs of Debt and Equity Issues
13
Types of Underwriting Arrangements
13
1.4
Raising Capital in International
Markets
18
Euromarkets
18
Direct Issuance
18
1.5
Major Financial Markets outside the
United States
18
Germany
18
Japan
20
United Kingdom
22
China
24
1.6
Trends in Raising Capital
25
Globalization
25
Deregulation
25
Innovative Instruments
25
Technology
26
Securitization
26
1.7
Summary and Conclusions
26
References and Additional Readings
29
2
Debt Financing
31
2.1
Bank Loans
32
Types of Bank Loan
33
Floating Rates
33
Loan Covenants
34
2.2
Leases
34
2.3
Commercial Paper
36
Who Sells Commercial Paper?
36
Buyback Provisions
36
2.4
Corporate Bonds
37
Bond Covenants
38
Bond Options
40
Cash Flow Pattern
44
Bond Prices: Par, Discount and
Premium Bonds
46
Maturity
46
Bond Ratings
48
The High-Yield Debt Market
49
2.5
Asset-Backed Securities
51
2.6
More Exotic Securities
52
Tax and Regulatory Frictions as
Motivators 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
2.7
Raising Debt Capital in the
Euromarkets
54
Features of Eurobonds
54
Size and Growth of the Eurobond
Market and the Forces behind the
Growth
54
Eurocurrency Loans
55
2.8
Primary and Secondary Markets for
Debt
56
The Primary and Secondary Market for
Treasury Securities
56
The Primary and Secondary Market for
Corporate Bonds
56
2.9
Bond Prices, Yields to Maturity and
Bond Market Conventions
57
Settlement Dates
59
Accrued Interest
59
Yields to Maturity and Coupon Yields
62
2.10
Summary and Conclusions
64
References and Additional Readings
67
3
Equity Financing
69
3.1
Types of Equity Securities
70
Common Stock
70
Preferred Stock
71
Warrants
73
Volume of Global Equity Financing
73
3.2
Shareholder Ownership around the
World
73
3.3
The Globalization of Equity
Markets
74
3.4
Secondary Markets for Equity
75
Types of Secondary Market for Equity
75
Exchanges
76
Electronic Communication Networks
(ECNs)
76
VII
viii
Chapter
Detailed Table of Contents
3.5
Equity Market Informational
Efficiency and Capital Allocation
76
3.6
Private Equity
77
3.7
The Decision to Issue Shares
Publicly
78
Demand- and Supply-Side Explanations
for IPO Cycles
79
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
83
The Underpricing of IPOs
83
What are the Long-Term Returns of
IPOs?
83
3.9
What Explains Underpricing?
84
How Do I Get These Underpriced
Shares?
84
The Incentives of Underwriters
84
The Case Where the 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
86
References and Additional Readings
89
PART II Valuing Financial Assets
4
Portfolio Tools
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
Variances and Standard Deviations
105
Return Variances
105
Estimating Variances: Statistical Issues
106
Standard Deviation
107
4.5
Covariances and Correlations
107
Covariance
107
4.6
Variances of Portfolios and
Covariances between Portfolios
no
Variances for Two-Stock Portfolios
110
Correlations, Diversification and
Portfolio Variances
112
Portfolios of Many Stocks
115
Covariances between Portfolio Returns
and Stock Returns
7/6
4.7
The Mean-Standard Deviation
Diagram
/76
Combining a Risk-Free Asset with
a Risky Asset in the Mean-Standard
Deviation Diagram
117
Portfolios of Two Perfectly Positively
Correlated or Perfectly Negatively
Correlated Assets
119
The Feasible Means and Standard
Deviations from Portfolios of Other
Pairs of Assets
120
4.8
Interpreting the Covariance as a
Marginal Variance
72 7
A Proof Using Derivatives from
Calculus
121
Numerical Interpretations of the
Marginal Variance Result
722
4.9
Finding the Minimum Variance
Portfolio
724
Properties of a Minimum Variance
Portfolio
124
Identifying the Minimum Variance
Portfolio of Two Stocks
725
Identifying the Minimum Variance
Portfolio of Many Stocks
726
4.10
Summary and Conclusions
727
References and Additional Readings
133
5
Mean-Variance Analysis and the
Capital Asset Pricing Model
134
5.1
Applications of Mean-Variance
Analysis and the CAPM in Use Today
736
Investment Applications of
Mean-Variance Analysis and the
CAPM
136
Corporate Applications of
Mean-Variance Analysis and the CAPM
136
5.2
The Essentials of Mean-Variance
Analysis
136
The Feasible Set
136
The Assumptions of Mean-Variance
Analysis
137
5.3
The Efficient Frontier and
Two-Fund Separation
139
The Quest for the Holy Grail: Optimal
Portfolios
139
Two-Fund Separation
139
5.4
The Tangency Portfolio and
Optimal Investment
141
Optimal Investment when a Risk-Free
Asset Exists
141
Identification of the Tangency Portfolio
144
5.5
Finding the Efficient Frontier of
Risky Assets
146
5.6
How Useful Is Mean-Variance
Analysis for Finding Efficient Portfolios?
147
5.7
The Relation Between Risk and
Expected Return
749
Relevant Risk and the Tangency
Portfolio
749
Betas
750
Marginal Variance versus Total
Variance
752
Detailed Table of Contents
ix
Tracking Portfolios in Portfolio
Management and as a Theme for
Valuation
152
5.8
The Capital Asset Pricing Model
154
Assumptions of the CAPM
154
The Conclusion of the CAPM
154
The Market Portfolio
155
Why the Market Portfolio is the
Tangency Portfolio
155
Implications for Optimal Investment
/56
5.9
Estimating Betas, Risk-Free
Returns, Risk Premiums and the
757
Market Portfolio
157
Risk-Free or Zero-Beta Returns
158
Beta Estimation and Beta Shrinkage
158
Improving the Beta Estimated from
Regression
158
Estimating the Market Risk Premium
161
Identifying the Market Portfolio
161
5.10
Empirical Tests of the Capital
Asset Pricing Model
161
Can the CAPM Really be Tested?
162
Is the Value-Weighted Market Index
Mean-Variance Efficient?
163
Cross-Sectional Tests of the CAPM
163
Time-Series Tests of the CAPM
165
Results of the Cross-Sectional and
Time-Series Tests: Size, Market-to-Book
and Momentum
/66
International Evidence
/69
Interpreting the CAPM's Empirical
Shortcomings
/69
Are these CAPM Anomalies
Disappearing?
170
5.11
Summary and Conclusions
172
References and Additional Readings
177
6
Factor Models and the Arbitrage
Pricing Theory
180
6.1
The Market Model: the First Factor
Model
182
The Market Model Regression
182
The Market Model Variance
Decomposition
183
Diversifiable Risk and Fallacious CAPM
Intuition
184
Residual Correlation and Factor
Models
185
6.2
The Principle of Diversification
185
Insurance Analogies to Factor Risk and
Firm-Specific Risk
186
Quantifying the Diversification of
Firm-Specific Risk
186
6.3
Multifactor Models
187
The Multifactor Model Equation
187
Interpreting Common Factors
188
6.4
Estimating the Factors
188
Using Factor Analysis to Generate
Factor Portfolios
189
Using Macroeconomic Variables to
Generate Factors
189
Using Characteristic-Sorted Portfolios
to Estimate the Factors
190
6.5
Factor Betas
191
What Determines Factor Betas?
191
Factor Models for Portfolios
191
6.6
Using Factor Models to Compute
Covariances and Variances
193
Computing Covariances in a
One-Factor Model
193
Computing Covariances from Factor
Betas in a Multifactor Model
194
Factor Models and Correlations
between Stock Returns
195
Applications of Factor Models to
Mean-Variance Analysis
195
Using Factor Models to Compute
Variances
195
6.7
Factor Models and Tracking
Portfolios
/96
Tracking Portfolios and Corporate
Hedging
197
Capital Allocation Decisions of
Corporations and Tracking Portfolios
197
Designing Tracking Portfolios
197
6.8
Pure Factor Portfolios
199
Constructing Pure Factor Portfolios
from More Primitive Securities
199
The Risk Premiums of Pure Factor
Portfolios
200
6.9
Tracking and Arbitrage
201
Using Pure Factor Portfolios to Track
the Returns of a Security
202
The Expected Return of the Tracking
Portfolio
202
Decomposing Pure Factor Portfolios
into Weights on More Primitive
Securities
203
6.10
No Arbitrage and Pricing: the
Arbitrage Pricing Theory
203
The Assumptions of the Arbitrage
Pricing Theory
204
Arbitrage Pricing Theory with No
Firm-Specific Risk
204
Graphing the APT Risk-Return
Equation
205
Verifying the Existence of Arbitrage
205
The Risk-Expected Return Relation for
Securities with Firm-Specific Risk
208
Violations of the APT Equation by
Large Numbers of Stocks Imply
Arbitrage
209
6.11
Estimating Factor Risk Premiums
and Factor Betas
210
Chapter
Detailed Table of Contents
6.12
Empirical Tests of the Arbitrage
Pricing Theory
210
Empirical Implications of the APT
27 7
Evidence from Factor Analysis Studies
27 7
Evidence from Studies with
Macroeconomic Factors
2/7
Evidence from Studies that Use Firm
Characteristics
212
6.13
Summary and Conclusions
2 72
References and Additional Readings
2 76
7
Pricing Derivatives
2 79
7.1
Examples of Derivatives
22 7
Forwards and Futures
22 7
Swaps
225
Options
227
Real Assets
23 7
Mortgage-Backed Securities
23 7
Structured Notes
232
7.2
The Basics of Derivatives Pricing
232
Perfect Tracking Portfolios
232
No Arbitrage and Valuation
233
Applying the Basic Principles of
Derivatives Valuation to Value
Forwards
233
73
Binomial Pricing Models
237
Tracking and Valuation: Static versus
Dynamic Strategies
237
Binomial Model Tracking of a
Structured Bond
238
Using Tracking Portfolios to Value
Derivatives
239
Risk-Neutral Valuation of Derivatives:
the Industry Approach
242
7
A Multiperiod Binomial Valuation
248
How Restrictive is the Binomial
Process in a Multiperiod Setting?
248
Numerical Example of Multiperiod
Binomial Valuation
249
Algebraic Representation of
Two-Period Binomial Valuation
250
7.5
Valuation Techniques in the
Financial Services Industry
257
Numerical Methods
25 7
The Risk-Free Rate Used by Industry
Practitioners
253
7.6
Market Frictions and Lessons from
the Fate of Amaranth Advisors
253
7.7
Summary and Conclusions
254
References and Additional Readings
260
8
Options
26 7
8.1
A Description of Options and
Options Markets
262
European and American Options
262
The Four Features of Options
263
8.2
Option Expiration
263
8.3
Put-Call Parity
264
Put-Call Parity and Forward Contracts:
Deriving the Formula
264
Put-Call Parity and a Minimum Value
for a Call
267
Put-Call Parity and the Pricing and
Premature Exercise of American Calls
26Ő
Put-Call Parity and Corporate
Securities as Options
277
Put-Call Parity and Portfolio Insurance
273
8.4
Binomial Valuation of European
Options
275
8.5
Binomial Valuation of American
Options
277
American Puts
278
Valuing American Options on
Dividend-Paying Stocks
280
8.6
Black-Scholes Valuation
280
Black-Scholes Formula
2Ő7
Dividends and the Black-Scholes Model
282
8.7
Estimating Volatility
283
Using Historical Data
283
The Implied Volatility Approach
285
8.8
Black-Scholes Price Sensitivity to
Stock Price, Volatility,
Interest Rates and Expiration Time
2Ő6
Delta: the Sensitivity to Stock Price
Changes 2S6
Black-Scholes Option Values and
Stock Volatility
287
Option Values and Time to Option
Expiration
288
Option Values and the Risk-Free
Interest Rate
288
A Summary of the Effects of the
Parameter Changes
288
8.9
Valuing Options on More
Complex Assets
289
The Forward Price Version of the
Black-Scholes Model
289
Computing Forward Prices from Spot
Prices
289
Applications of the Forward Price
Version of the Black-Scholes Formula
290
American Options
290
American Call and Put Currency
Options
292
8.10
Empirical Biases in the Black-
Scholes Formula
292
8.11
Summary and Conclusions
294
References and Additional Readings
297
PART III Valuing Real Assets
9
Discounting and Valuation
305
9.1
Cash Flows of Real Assets
306
Unlevered Cash Flows
307
Creating
Pro-Forma
Forecasts of
Financial Statements
3 72
Detailed Table of Contents
XI
9.2
Using Discount Rates to Obtain
Present Values
317
Single-Period Returns and their
Interpretation
317
Rates of Return in a Multiperiod
Setting
318
Value Additivity and Present Values of
Cash Flow Streams
320
Inflation
321
Annuities and Perpetuities
322
Simple Interest
327
Time Horizons and Compounding
Frequencies
328
9.3
Summary and Conclusions
331
References and Additional
Readings
337
10
Investing in Risk-Free Projects
338
10.1
Cash Flows
340
10.2
Net Present Value
340
Discounted Cash Flow and Net
Present Value
340
Project Evaluation with the Net
Present Value Rule
342
Present Values and Net Present Values
Have the Value Additivity Property
344
Using AW with Capital Constraints
347
Using NPV to Evaluate Projects that Can
Be Repeated over Time
348
10.3
Economic Value Added (EVA)
349
10.4
Using NPV for Other Corporate
Decisions
351
10.5
Evaluating Real Investments with
the Internal Rate of Return
352
Intuition for the
IRR
Method
353
Numerical Iteration of the
IRR 354
NPV and Examples of
IRR 354
Term Structure Issues
358
Cash Flow Sign Patterns and the
Number of Internal Rates of Return
358
Sign Reversals and Multiple Internal
Rates of Return
362
Mutually Exclusive Projects and the
Internal Rate of Return
363
10.6
Popular but Incorrect Procedures
for Evaluating Real Investments
365
The Payback Method
365
The Accounting Rate of Return
Criterion
365
10.7
Summary and Conclusions
366
References and Additional Readings
371
Appendix
1
0A The Term Structure Of
Interest Rates
372
10A.1 Term Structure Varieties
372
10A.2 Spot Rates, Annuity Rates and
Par Rates
372
References and Additional Readings
for Appendix 10A
378
11
Investing in Risky Projects
379
11.1
Tracking Portfolios and Real
Asset Valuation
382
Asset Pricing Models and the Tracking
Portfolio Approach
382
Implementing the Tracking Portfolio
Approach
384
Linking Financial Asset Tracking to
Real Asset Valuation with the SML
384
11.2
The Risk-Adjusted Discount Rate
Method
385
Defining and Implementing the
Risk-Adjusted Discount Rate Method
with Given Betas
385
The Tracking Portfolio Method is
Implicit in the Risk-Adjusted Discount
Rate Method
387
11.3
The Effect of Leverage on
Comparisons
387
The Balance Sheet for an All-Equity-
Financed Firm
388
The Balance Sheet for a Firm Partially
Financed with Debt
388
The Right-Hand Side of the Balance
Sheet as a Portfolio
388
Distinguishing Risk-Free Debt from
Default-Free Debt
389
Graphs and Numerical Illustrations of
the Effect of Debt on Risk
390
11.4
Implementing the Risk-Adjusted
Discount Rate Formula with
Comparison Firms
391
The CAPM, the Comparison Method
and Adjusting for Leverage
392
Obtaining a Cost of Capital from the
Arbitrage Pricing Theory (APT)
393
Costs of Capital Computed with
Alternatives to CAPM and APT:
Dividend Discount Models
394
What if No Pure Comparison Firm
Exists?
397
11.5
Pitfalls in Using the Comparison
Method
397
Project Betas are Not the Same as Firm
Betas
398
Growth Opportunities are Usually the
Source of High Betas
399
Multiperiod Risk-Adjusted Discount Rates
401
Empirical Failures of the CAPM and
APT
404
What if No Comparable Line of
Business Exists?
405
11.6
Estimating Beta from Scenarios:
the Certainty Equivalent Method
409
Defining the Certainty Equivalent
Method
409
Identifying the Certainty Equivalent
from Models of Risk and Return
410
xii
Chapter
Detailed Table of Contents
The CAPM, Scenarios and the Certainty
Equivalent Method
412
The APT and the Certainty Equivalent
Method 4T3
The Relation between the Certainty
Equivalent Formula and the Tracking
Portfolio Approach
413
11.7
Obtaining Certainty Equivalents
with Risk-Free Scenarios
4
ы
A Description of the Risk-Free Scenario
Method
4/4
Implementing the Risk-Free Scenario
Method in a Multiperiod Setting
417
Providing Certainty Equivalents
without Knowing it
419
11.8
Computing Certainty Equivalents
from Prices in Financial Markets
419
Forward Prices
419
Tracking Portfolios That Contain
Forward Contracts
419
11.9
Summary and Conclusions
420
References and Additional Readings
424
Appendix
11
A
425
Statistical Issues in Estimating the
Cost of Capital for the Risk-Adjusted
Discount Rate Method
425
1
1A.1 Estimation Error and
Denominator-Based Biases in Present
Value Estimates
425
1
1A.2 Geometric versus Arithmetic
Means and the Compounding-Based
Bias
426
References and Additional Readings
for Appendix 11A
429
12
Allocating Capital and Corporate
Strategy
430
12.1
Sources of Positive Net Present
Value
431
Sources of Competitive Advantage
432
Economies of Scope, Discounted Cash
Flow and Options
433
Option Pricing Theory as a Tool for
Quantifying Economies of Scope
433
12.2
Valuing Strategic Options with
the Real Options Methodology
434
Valuing a Mine with No Strategic
Options
434
Valuing a Mine with an Abandonment
Option
437
Valuing Vacant Land
440
Valuing the Option to Delay the Start
of a Manufacturing Project
442
Valuing the Option to Expand
Capacity
445
Valuing Flexibility in Production
Technology: the Advantage of Being
Different
446
12.3
The Ratio Comparison Approach
448
The Price/Earnings Ratio Method
451
When Comparison Investments are
Hidden in Multibusiness Firms
451
The Effect of Earnings Growth and
Accounting Methodology on Price/
Earnings Ratios
452
The Effect of Leverage on Price/Earnings
Ratios
453
Adjusting for Leverage Differences
455
12.4
The Competitive Analysis
Approach
455
Determining a Division's Contribution
to Firm Value
456
Disadvantages of the Competitive
Analysis Approach
456
12.5
When to Use the Different
Approaches
456
Can these Approaches be Implemented?
457
Valuing Asset Classes versus Specific
Assets
457
Tracking Error Considerations
457
Other Considerations
457
12.6
Summary and Conclusions
458
References and Additional Readings
463
13
Corporate Taxes and the Impact of
Financing on Real Asset Valuation
466
13.1
Corporate Taxes and the
Evaluation of Equity-Financed
Capital Expenditures
46Ő
The Cost of Capital
468
The Risk of the Components of
the Firm's Balance Sheet with
Tax-Deductible Debt Interest
469
Identifying the Unlevered Cost of
Capital
471
13.2
The Adjusted Present Value
Method
473
Three Sources of Value Creation for
Shareholders
473
Debt Capacity
474
The
APV
Method is Versatile and
Usable with Many Valuation
Techniques
475
13.3
The Weighted Average Cost of
Capital
481
Valuing a Business with the WACC
Method when a Debt Tax Shield
Exists
481
WACC Components: the Cost of Equity
Financing
482
WACC Components: the Cost of Debt
Financing
482
Determining the Costs of Debt and
Equity when the Project is Adopted
484
The Effect of Leverage on a Firm's
WACC when there are no Taxes
485
Detailed Table of Contents
XIII
The Effect of Leverage on a Firm's
WACC with a Debt Interest Corporate
Tax Deduction
486
Evaluating Individual Projects with the
WACC Method
490
13.4
Discounting Cash Flows to Equity
Holders
493
Positive NPV Projects Can Reduce
Share Prices when Transfers to Debt
Holders Occur
493
Computing Cash Flows to Equity
Holders
494
Valuing Cash Flow to Equity Holders
495
Real Options versus the Risk-Adjusted
Discount Rate Method
496
13.5
Summary and Conclusions
496
References and Additional Readings
500
PART IV Capital Structure
14
How Taxes Affect Financing
Choices
507
14.1
The
Modigliani-Miller
Theorem
508
Slicing the Cash Flows of the Firm
508
Proof of the
Modigliani-Miller
Theorem
5Ю
Assumptions of the
Modigliani-Miller
Theorem
511
14.2
How an Individual Investor Can
'Undo' a Firm's Capital Structure
Choice
5/3
14.3
How Risky Debt Affects the
Modigliani-Miller
Theorem
513
The
Modigliani-Miller
Theorem with
Costless Bankruptcy
513
Leverage Increases and Wealth
Transfers
514
14.4
How Corporate Taxes Affect the
Capital Structure Choice
5/6
How Debt Affects After-Tax Cash
Flows
517
How Debt Affects the Value of the Firm
517
14.5
How Personal Taxes Affect
Capital Structure
519
The Effect of Personal Taxes on Debt
and Equity Rates of Return
520
Capital Structure Choices when
Taxable Earnings can be Negative
523
14.6
Taxes and Preference Shares
526
14.7
The Effect of Inflation on the Tax
Gain from Leverage
526
14.8
The Empirical Implications of the
Analysis of Debt and Taxes
527
Do Firms with More Taxable Earnings
Use More Debt Financing?
527
14.9
Are There Tax Advantages to
Leasing?
528
Operating Leases and Capital Leases
528
The After-Tax Costs of Leasing and
Buying Capital Assets
529
14.10
Summary and Conclusions
531
References and Additional Readings
535
APPENDIX 14A
537
How Personal Taxes Affect the Capital
Structure Choice: the Miller Equilibrium
537
15
How Taxes Affect Dividends and
Share Repurchases
539
15.1
How Much of Corporate
Earnings is Distributed to
Shareholders?
540
Aggregate Dividend Payouts
540
Dividend Policies of Selected Firms
541
15.2
Distribution Policy in Frictionless
Markets
542
The
Miller-Modigliani
Dividend
Irrelevancy Theorem
542
Optimal Payout Policy in the Absence
of Taxes and Transaction Costs
544
15.3
The Effect of Taxes and
Transaction Costs on Distribution
Policy
545
A Comparison of the Classical and
Imputation Tax Systems
546
The Tax System in the United
Kingdom
546
Other Tax Systems
547
How Taxes Affect Dividend Policy
547
Dividend Clienteles
548
Why do Corporations Pay Out So
Much in Taxed Dividends?
549
15.4
How Dividend Policy Affects
Expected Stock Returns
550
Ex-Dividend Stock Price Movements
550
The Cross-Sectional Relation between
Dividend Yields and Stock Returns
552
15.5
How Dividend Taxes Affect
Financing and Investment Choices
553
Dividends, Taxes and Financing
Choices
553
Dividends, Taxes and Investment
Distortions
553
15.6
Personal Taxes, Payout Policy
and Capital Structure
559
15.7
Summary and Conclusions
560
References and Additional Readings
563
16
Bankruptcy Costs and Debt Holder-
Equity Holder Conflicts
566
16.1
Bankruptcy
56Ő
Bankruptcy in the United Kingdom
56б
Bankruptcy in Other Countries
569
The Direct Costs of Bankruptcy
569
16.2
Debt Holder-Equity Holder
Conflicts: an Indirect Bankruptcy Cost
571
xiv
Chapter
Detailed Table of Contents
Equity Holder Incentives
577
The Debt Overhang Problem
572
The Shortsighted Investment Problem
576
The Asset Substitution Problem
578
The Incentives of a Firm to Take
Higher Risks: the Case of Unistar
578
How Do Debt Holders Respond to
Shareholder Incentives?
579
The Reluctance to Liquidate Problem
585
16.3
How Administration Mitigates
Debt Holder-Equity Holder
Incentive Problems
588
16.4
How Can Firms Minimize Debt
Holder-Equity Holder
Incentive Problems?
589
Protective Covenants
590
Bank and Privately Placed Debt
592
The Use of Short-Term versus
Long-Term Debt
593
Security Design: the Use of
Convertibles
594
The Use of Project Financing
594
Management Compensation
Contracts
595
16.5
Empirical Implications for
Financing Choices
596
How Investment Opportunities
Influence Financing Choices
596
How Financing Choices Influence
Investment Choices
596
Firm Size and Financing Choices
597
Evidence from Bank-Based Economies
597
16.6
Summary and Conclusions
598
References and Additional Readings
602
17
Capital Structure and Corporate
Strategy
606
17.1
The Stakeholder Theory of
Capital Structure
60S
Non-Financial Stakeholders
608
How the Costs Imposed on
Stakeholders Affect the Capital
Structure Choice
609
Financial Distress and Reputation
611
Who Would You Rather Work For?
6 73
Summary of the Stakeholder Theory
6 74
17.2
The Benefits of Financial Distress
with Committed Stakeholders
6 75
Bargaining with Unions
6/5
Bargaining with the Government
6 76
17.3
Capital Structure and Competitive
Strategy
6 77
Does Debt Make Firms More or Less
Aggressive Competitors?
677
Debt and
Prédation
618
Empirical Studies of the Relationship
between Debt Financing and Market
Share
679
17.4
Dynamic Capital Structure
Considerations
62 7
The Pecking Order of Financing
Choices
622
An Explanation Based on Management
Incentives
623
An Explanation Based on Managers
Having More Information than
Investors
623
An Explanation Based on the
Stakeholder Theory
623
An Explanation Based on Debt
Holder-Equity Holder Conflicts
623
Market Timing Behaviour of
Managers
625
17.5
Empirical Evidence on the
Capital Structure Choice
625
Market Timing Versus Pecking Order
626
17.6
Summary and Conclusions
628
References and Additional Readings
63 7
PART V Incentives, Information and
Corporate Control
18
How Managerial Incentives Affect
Financial Decisions
639
18.1
The Separation of Ownership
and Control
640
Whom Do Managers Represent?
64 7
What Factors Influence Managerial
Incentives?
64 7
How Management Incentive Problems
Hurt Shareholder Value
642
Why Shareholders Cannot Control
Managers
642
Changes in Corporate Governance
645
Do Corporate Governance Problems
Differ Across Countries?
647
18.2
Management Shareholdings and
Market Value
647
The Effect of Management
Shareholdings on Stock Prices
649
Management Shareholdings and Firm
Value: The Empirical Evidence
650
18.3
How Management Control
Distorts Investment Decisions
65 7
The Investment Choices Managers
Prefer
65 7
Outside Shareholders and Managerial
Discretion
653
18.4
Capital Structure and Managerial
Control
654
The Relation between Shareholder
Control and Leverage
654
How Leverage Affects the Level of
Investment
655
A Monitoring Role for Banks
657
A Monitoring Role for Private Equity 65S
Detailed Table of Contents
xv
18.5
Executive Compensation
658
The Agency Problem
658
Is Executive Pay Closely Tied to
Performance?
660
Post-Enron Changes
66/
How Does Firm Value Relate to the
Use of Performance-Based Pay?
662
Is Executive Compensation Tied to
Relative Performance?
663
Stock-Based versus Earnings-Based
Performance Pay
663
Compensation Issues, Mergers and
Divestitures
665
18.6
Summary and Conclusions
667
References and Additional Readings
670
19
The Information Conveyed by
Financial Decisions
674
19.1
Management Incentives when
Managers have Better
Information than Shareholders
675
Conflicts between Short-Term and
Long-Term Share Price Maximization
676
19.2
Earnings Manipulation 67S
Incentives to Manipulate Accounting
Figures
679
19.3
Shortsighted Investment Choices
679
Management's Reluctance to
Undertake Long-Term Investments 6S0
What Determines a Manager's
Incentive to be Shortsighted?
637
19.4
The Information Content of
Dividend and Share Repurchase
Announcements
681
Empirical Evidence on Stock Returns
at the Time of Dividend
Announcements
681
A Dividend Signalling Model
682
Dividend Policy and Investment
Incentives
6Ő6
Dividends Attract Attention
688
Dividends across Countries
689
19.5
The Information Content of the
Debt-Equity Choice
689
A Signalling Model Based on the Tax
Gain/Financial Distress Cost Trade-Off
689
Adverse Selection Theory
69 7
19.6
Empirical Evidence
696
What is an Event Study?
696
Event Study Evidence
697
Behavioural Explanations
701
How Does the Availability of Cash
Affect Investment Expenditures?
702
19.7
Summary and Conclusions
703
References and Additional Readings
707
20
Mergers and Acquisitions
20.1
A History of Mergers and
Acquisitions
20.2
Types of Mergers and
Acquisitions
Strategic Acquisitions
Financial Acquisitions
Conglomerate Acquisitions
772
773
775
775
775
776
Summary of Mergers and Acquisitions
777
20.3
Recent Trends in Takeover
Activity
777
The Fall and Rise of Hostile
Takeovers 77S
20.4
Sources of Takeover Cains
77Ő
Tax Motivations
779
Operating Synergies
720
Is an Acquisition Required to Realize
Tax Gains, Operating Synergies,
Incentive Gains or Diversification?
725
20.5
The Disadvantages of Mergers
and Acquisitions
725
Conglomerates Can
Misal
locate
Capital
726
Mergers Can Reduce the Information
Contained in Stock Prices
726
A Summary of the Gains and Costs of
Diversification
726
20.6
Empirical Evidence on Takeover
Gains for Non-LBO Takeovers
727
Stock Returns around the Time of
Takeover Announcements
727
Empirical Evidence on the Gains to
Diversification
730
Accounting Studies
730
20.7
Empirical Evidence on the Gains
from Leveraged Buyouts (LBOs)
73 7
How Leveraged Buyouts Affect Stock
Prices
732
Cash Flow Changes Following
Leveraged Buyouts
732
20.8
Valuing Acquisitions
734
Valuing Synergies
734
A Guide to the Valuation of Synergies
735
20.9
Financing Acquisitions
738
Tax Implications of the Financing of a
Merger or an Acquisition
739
Capital Structure Implications in the
Financing of a Merger or an Acquisition
739
Information Effects from the Financing
of a Merger or an Acquisition
739
20.10
Bidding Strategies in Hostile
Takeovers
740
The Free-Rider Problem
740
Solutions to the Free-Rider Problem
74 7
20.11
Management Defences
744
Greenmail
744
Staggered Boards and Supermajority
Rules
744
xvi
Chapter
Detailed Table of Contents
Poison Pills
744
Are Takeover Defences Good for
Shareholders?
745
20.12
Summary and Conclusions
746
References and Additional Readings
749
PART IV Risk Management
21
Risk Management and Corporate
Strategy
757
21.1
Risk Management and the
Modigliani-Miller
Theorem
758
The Investor's Hedging Choice
758
Implications of the
Modigliani-Miller
Theorem for Hedging
759
Relaxing the
Modigliani-Miller
Assumptions
759
21.2
Why Do Firms Hedge?
760
A Simple Analogy
760
How Does Hedging Increase Expected
Cash Flows?
76/
How Hedging Reduces Taxes
762
Hedging to Avoid Financial Distress
Costs
762
Hedging to Help Firms Plan for their
Capital Needs
764
How Hedging Improves Executive
Compensation Contracts and
Performance Evaluation
766
How Hedging Improves Decision
Making
768
21.3
The Motivation to Hedge Affects
What is Hedged
771
21.4
How Should Companies
Organize their Hedging Activities?
771
21.5
Do Risk Management
Departments Always Hedge?
772
21.6
How Hedging Affects the Firm's
Stakeholders
773
How Hedging Affects Debt Holders
and Equity Holders
773
How Hedging Affects Employees and
Customers
773
Hedging and Managerial Incentives
773
21.7
The Motivation to Manage
Interest Rate Risk
774
Alternative Liability Streams
775
How do Corporations Choose
between Different Liability Streams?
776
21.8
Foreign Exchange Risk
Management
778
Types of Foreign Exchange Risk
778
Why do Exchange Rates Change?
779
Why Most Firms do not Hedge
Economic Risk
782
21.9
Which Firms Hedge? The
Empirical Evidence
783
Larger Firms are More Likely
than Smaller Firms to Use
Derivatives
783
Firms with More Growth
Opportunities are More Likely to Use
Derivatives
783
Highly Levered Firms are More Likely
to Use Derivatives
784
Risk Management Practices in the
Gold Mining Industry
784
Risk Management Practices in the Oil
and Gas Industry
784
21.10
Summary and Conclusions
785
References and Additional Readings
788
22
The Practice of Hedging
790
22.1
Measuring Risk Exposure
791
Using Regression to Estimate the Risk
Exposure
792
Measuring Risk Exposure with
Simulations
7.92
Prespecification of Factor Betas from
Theoretical Relations
793
Volatility as a Measure of Risk
Exposure
793
Value at Risk as a Measure of Risk
Exposure
794
22.2
Hedging Short-Term
Commitments with Maturity-Matched
Forward Contracts
795
Review of Forward Contracts
795
How Forward-Date Obligations
Create Risk
796
Using Forwards to Eliminate the Oil
Price Risk of Forward Obligations
796
Using Forward Contracts to Hedge
Currency Obligations
797
22.3
Hedging Short-Term
Commitments with Maturity-Matched
Futures Contracts
799
Review of Futures Contracts, Marking
to Market and Futures Prices
799
Tailing the Futures Hedge
799
22.4
Hedging and Convenience
Yields
801
When Convenience Yields do not
Affect Hedge Ratios
802
How Supply and Demand for
Convenience Determine Convenience
Yields
802
Hedging the Risk from Holding
Spot Positions in Commodities with
Convenience Yields
803
22.5
Hedging Long-Dated
Commitments with Short-Maturing
Futures or Forward Contracts
804
Maturity, Risk and Hedging in the
Presence of a Constant Convenience
Yield
805
Detailed Table of Contents
xvii
Quantitative Estimates of the Oil
Futures Stack Hedge Error
807
Intuition for Hedging with a Maturity
Mismatch in the Presence of a
Constant Convenience Yield
808
Convenience Yield Risk Generated by
Correlation between Spot Prices and
Convenience Yields
808
Basis Risk
810
22.6
Hedging with Swaps
811
Review of Swaps
811
Hedging with Interest Rate Swaps
811
Hedging with Currency Swaps
813
22.7
Hedging with Options
814
Why Option Hedging is Desirable
815
Covered Option Hedging: Caps and
Floors
815
Delta Hedging with Options
818
22.8
Factor-Based Hedging
820
Computing Factor Betas for Cash Flow
Combinations
820
Computing Hedge Ratios
821
Direct Hedge Ratio Computations:
Solving Systems of Equations
821
22.9
Hedging with Regression
823
Hedging a Cash Flow with a Single
Financial Instrument
823
Hedging with Multiple Regression
824
22.10
Minimum Variance Portfolios
and Mean-Variance Analysis
825
Hedging to Arrive at the Minimum
Variance Portfolio
825
Hedging to Arrive at the Tangency
Portfolio
826
22.11
Summary and Conclusions
828
References and Additional Readings
833
23
Interest Rate Risk Management
834
23.1
The Value of a One Basis Point
Decrease (PV01)
835
Methods Used to Compute PV01 for
Traded Bonds
836
Using PV01 to Estimate Price Changes
837
PV01s of Various Bond Types and
Portfolios
837
Using PVOH to Hedge Interest Rate
Risk
838
How Compounding Frequency Affects
the Stated PV0
1 839
23.2
Duration
840
The Duration of Zero-Coupon Bonds
840
The Duration of Coupon Bonds
841
Durations of Discount and Premium-
Coupon Bonds
842
How Duration Changes as Time
Elapses
842
Durations of Bond Portfolios
843
How Duration Changes as Interest
Rates Increase
843
23.3
Linking Duration to PV01
844
Duration as a Derivative
844
Formulas Relating Duration to PV01
846
Hedging with PV01s or Durations
847
23.4
Immunization
848
Ordinary Immunization
848
Immunization Using PVO
7 851
Practical Issues to Consider
851
Contingent Immunization
852
Immunization and Large Changes in
Interest Rates
853
23.5
Convexity
853
Defining and Interpreting Convexity
853
Estimating Price Sensitivity to Yield
855
Misuse of Convexity
855
23.6
Interest Rate Hedging when the
Term Structure is Not Flat
859
The Yield-Beta Solution
859
The Parallel Term Structure Shift
Solution: Term Structure PVO
7 860
MacAuley Duration and Present Value
Duration
860
Present Value Duration as a Derivative
862
23.7
Summary and Conclusions
863
References and Additional Readings
865
Appendix A Mathematical Tables
870
Practical Insights for Financial
Managers
880
Index
883 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Hillier, David 1962- Grinblatt, Mark Titman, Sheridan 1954- |
| author_GND | (DE-588)121781615 (DE-588)124548547 (DE-588)128734795 |
| author_facet | Hillier, David 1962- Grinblatt, Mark Titman, Sheridan 1954- |
| author_role | aut aut aut |
| author_sort | Hillier, David 1962- |
| author_variant | d h dh m g mg s t st |
| building | Verbundindex |
| bvnumber | BV035153349 |
| callnumber-first | H - Social Science |
| callnumber-label | HG181 |
| callnumber-raw | HG181 |
| callnumber-search | HG181 |
| callnumber-sort | HG 3181 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 600 QK 620 QP 320 |
| ctrlnum | (OCoLC)885204384 (DE-599)GBV566304252 |
| dewey-full | 658.15 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.15 |
| dewey-search | 658.15 |
| dewey-sort | 3658.15 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | European Edition |
| format | Book |
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| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| geographic | Verenigde Staten gtt USA USA (DE-588)4078704-7 gnd Europa (DE-588)4015701-5 gnd |
| geographic_facet | Verenigde Staten USA Europa |
| id | DE-604.BV035153349 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:47:36Z |
| indexdate | 2024-07-20T04:39:11Z |
| institution | BVB |
| isbn | 0077119029 9780077119027 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016960565 |
| oclc_num | 885204384 |
| open_access_boolean | |
| owner | DE-473 DE-BY-UBG DE-523 DE-945 DE-188 DE-19 DE-BY-UBM |
| owner_facet | DE-473 DE-BY-UBG DE-523 DE-945 DE-188 DE-19 DE-BY-UBM |
| physical | XXIII, 915 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | McGraw-Hill Irwin |
| record_format | marc |
| spelling | Hillier, David 1962- Verfasser (DE-588)121781615 aut Financial markets and corporate strategy David Hillier, Mark Grinblatt and Sheridan Titman European Edition London [u.a] McGraw-Hill Irwin 2008 XXIII, 915 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Financiering gtt Financiële instellingen gtt Strategische planning gtt Business planning Corporations Finance Financial institutions Strategic planning Strategische Planung (DE-588)4309237-8 gnd rswk-swf Unternehmensplanung (DE-588)4078609-2 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Unternehmen (DE-588)4061963-1 gnd rswk-swf Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf Verenigde Staten gtt USA USA (DE-588)4078704-7 gnd rswk-swf Europa (DE-588)4015701-5 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Unternehmen (DE-588)4061963-1 s Finanzierung (DE-588)4017182-6 s DE-604 Unternehmensplanung (DE-588)4078609-2 s Strategische Planung (DE-588)4309237-8 s Europa (DE-588)4015701-5 g Kreditmarkt (DE-588)4073788-3 s DE-188 USA (DE-588)4078704-7 g 1\p DE-604 Kapitalmarkt (DE-588)4029578-3 s 2\p DE-604 Grinblatt, Mark Verfasser (DE-588)124548547 aut Titman, Sheridan 1954- Verfasser (DE-588)128734795 aut http://www.gbv.de/dms/zbw/566304252.pdfTest Inhaltsverzeichnis Digitalisierung UB Bamberg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016960565&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Hillier, David 1962- Grinblatt, Mark Titman, Sheridan 1954- Financial markets and corporate strategy Financiering gtt Financiële instellingen gtt Strategische planning gtt Business planning Corporations Finance Financial institutions Strategic planning Strategische Planung (DE-588)4309237-8 gnd Unternehmensplanung (DE-588)4078609-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Unternehmen (DE-588)4061963-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4309237-8 (DE-588)4078609-2 (DE-588)4073788-3 (DE-588)4061963-1 (DE-588)4029578-3 (DE-588)4017182-6 (DE-588)4078704-7 (DE-588)4015701-5 (DE-588)4123623-3 |
| title | Financial markets and corporate strategy |
| title_auth | Financial markets and corporate strategy |
| title_exact_search | Financial markets and corporate strategy |
| title_exact_search_txtP | Financial markets and corporate strategy |
| title_full | Financial markets and corporate strategy David Hillier, Mark Grinblatt and Sheridan Titman |
| title_fullStr | Financial markets and corporate strategy David Hillier, Mark Grinblatt and Sheridan Titman |
| title_full_unstemmed | Financial markets and corporate strategy David Hillier, Mark Grinblatt and Sheridan Titman |
| title_short | Financial markets and corporate strategy |
| title_sort | financial markets and corporate strategy |
| topic | Financiering gtt Financiële instellingen gtt Strategische planning gtt Business planning Corporations Finance Financial institutions Strategic planning Strategische Planung (DE-588)4309237-8 gnd Unternehmensplanung (DE-588)4078609-2 gnd Kreditmarkt (DE-588)4073788-3 gnd Unternehmen (DE-588)4061963-1 gnd Kapitalmarkt (DE-588)4029578-3 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Financiering Financiële instellingen Strategische planning Business planning Corporations Finance Financial institutions Strategic planning Strategische Planung Unternehmensplanung Kreditmarkt Unternehmen Kapitalmarkt Finanzierung Verenigde Staten USA Europa Lehrbuch |
| url | http://www.gbv.de/dms/zbw/566304252.pdfTest http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016960565&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hillierdavid financialmarketsandcorporatestrategy AT grinblattmark financialmarketsandcorporatestrategy AT titmansheridan financialmarketsandcorporatestrategy |
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