Financial Markets and Corporate Strategy

目录
PART I Financial Markets and Financial Instruments
1 Raising Capital:The Process and the Players
1.1 Financing the Firm
Decisions Facing the Firm
How Big Is the U.S.Capital Market?
1.2 Public and Private Sources of Capital
1.3 The Environment for Raising Capital in the United States
The Legal Environment
Investment Banks
The Underwriting Process
The Underwriting Agreement
Classifying Offerings
The Costs of Debt and Equity Issues
Types of Underwriting Arrangements
1.4 Raising Capital in International Markets
Euromarkets
Direct Issuance
1.5 Major Financial Markets Outside the United States
Germany
Japan
United Kingdom
1.6 Trends in Raising Capital
Globalization
Deregulation
Innovative Instruments
Technology
Securitization
1.7 Summary and Conclusions
2 Debt Financing
2.1 Bank Loans
Types of Bank Loans
Floating Rates
Loan Covenants
2.2 Leases
2.3 Commercial Paper
Who Sells Commercial Paper?
Buyback Provisions
2.4 Corporate Bond
Bond Covenants
Bond Options
Cash Flow Pattern
Bond Prices:Par,Discount,and Premium Bonds
Maturity
Bond Ratings
The High-Yield Debt Market
2.5 More Exotic Securities
Tax and Regulatory Frictions as Motivators for Innovation
Collateralization as a Force for Innovation
Macroeconomic Conditions and Financial Innovation
Financial Innovation in Emerging Capital Markets
The Junk Bond Market and Financial Innovation
A Perspective on the Pace of Financial Innovation
2.6 Raising Debt Capital in the Euromarkets
Features of Eurobonds
Size and Growth of the Eurobond Market and the Forces behind the Growth
Eurocurrency Loans
2.7 Primary and Secondary Markets for Debt
The Primary and Secondary Markets for U.S.Treasury Securities
The Primary and Secondary Market for Corporate Bonds
2.8 Bond Prices,Yields to Maturity,and Bond Market Conventions
Settlement Dates
Accrued Interest
2.9 Yields to Maturity and Coupon Yields
2.10 Summary and Conclusions
3 Equity Financing
3.1 Types of Equity Securities
Common Stock
Preferred Stock
Warrants
Volume of Financing with Different Equity Instruments
3.2 Who Owns U.S.Equities?
3.3 The Globalization of Equity Markets
3.4 Secondary Markets for Equity
Types of Secondary Markets for Equity
Exchanges
Dealer Markets for Equity
Electronic Communication Networks(ECNs)
International Secondary Markets for Equity
3.5 Equity Market Informational Efficiency and Capital Allocation
3.6 The Market for Private Equity
3.7 The Decision to Issue Shares Publicly
Demand-and Supply-Side Explanations for IPO Cycles
The Benefits of Going Public
The Costs of Going Public
The Process of Going Public
3.8 Stock Returns Associated with IPOs of Common Equity
IPO Underpricing of U.S.Stocks
Estimates of International IPO Underpricing
What Are the Long-Term Returns of IPOs?
3.9 What Explains Underpricing?
How Do I Get These Underpriced Shares?
The Incentives of Underwriters
The Case Where Managers of the Issuing Firm Have Better Information Than Investors
The Case Where Some Investors Have Better Information Than Other Investors
The Case Where Investors Have Information That the Underwriter Does Not Have
3.10 Summary and Conclusions
PART Ⅱ Valuing Financial Assets
4 Portfolio Tools
4.1 Portfolio Weights
The Two-Stock Portfolio
The Many-Stock Portfolio
4.2 Portfolio Returns
4.3 Expected Portfolio Returns
Portfolios of Two Stocks
Portfolios of Many Stocks
4.4 Variances and Standard Deviations
Return Variances
Estimating Variances:Statistical Issues
Standard Deviation
4.5 Covariances and Correlations
Covariance
4.6 Variances of Portfolios and Covariances between Portfolios
Variances for Two-Stock Portfolios
Correlations,Diversification,and Portfolio Variances
Portfolios of Many Stocks
Covariances between Portfolio Returns and Stock Returns
4.7 The Mean-Standard Deviation Diagram
Combining a Risk-Free Asset with a Risky Asset in the Mean-Standard Deviation Diagram
Portfolios of Two Perfectly Positively Correlated or Perfectly Negatively Correlated Assets
The Feasible Means and Standard Deviations from Portfolios of Other Pairs of Assets
4.8 Interpreting the Covariance as a Marginal Variance
A Proof Using Derivatives from Calculus
Numerical Interpretations of the Marginal Variance Result
4.9 Finding the Minimum Variance Portfolio
Properties of a Minimum Variance Portfolio
Identifying the Minimum Variance Portfolio of Two Stocks
Identifying the Minimum Variance Portfolio of Many Stocks
4.10 Summary and Conclusions
5 Mean-Variance Analysis and the Capital Asset Pricing Model
5.1 Applications of Mean-Variance Analysis and the CAPM in Use Today
Investment Applications of Mean-Variance Analysis and the CAPM
Corporate Applications of Mean-Variance Analysis and the CAPM
5.2 The Essentials of Mean-Variance Analysis
The Feasible Set
The Assumptions of Mean-Variance Analysis
5.3 The Efficient Frontier and Two-Fund Separation
The Quest for the Holy Grail:Optimal Portfolios
Two-Fund Separation
5.4 The Tangency Portfolio and Optimal Investment
Optimal Investment When a Risk-Free Asset Exists
Identification of the Tangency Portfolio
5.5 Finding the Efficient Frontier of Risky Assets
5.6 How Useful Is Mean-Variance Analysis for Finding Efficient Portfolios?
5.7 The Relation Between Risk and Expected Return
Relevant Risk and the Tangency Portfolio
Betas
Marginal Variance versus Total Variance
Tracking Portfolios in Portfolio Management and as a Theme for Valuation
5.8 The Capital Asset Pricing Model
Assumptions of the CAPM
The Conclusion of the CAPM
The Market Portfolio
Why the Market Portfolio Is the Tangency Portfolio
Implications for Optimal Investment
5.9 Estimating Betas,Risk-Free Returns,Risk Premiums,and the Market Portfolio
Risk-Free or Zero-Beta Returns
Beta Estimation and Beta Shrinkage
Improving the Beta Estimated from Regression
Estimating the Market Risk Premium
Identifying the Market Portfolio
5.10 Empirical Tests of the Capital Asset Pricing Model
Can the CAPM Really Be Tested?
Is the Value-Weighted Market Index Mean-Variance Efficient?
Cross-Sectional Tests of the CAPM
Times-Series Tests of the CAPM
Results of the Cross-Sectional and Time-Series Tests:Size,Market-to-Book,and Momentum
Interpreting the CAPM's Empirical Shortcomings
Are These CAPM Anomalies Disappearing?
5.11 Summary and Conclusions
6 Factor Models and the Arbitrage Pricing Theory
6.1 The Market Model:The First Factor Model
The Market Model Regression
The Market Model Variance Decomposition
Diversifiable Risk and Fallacious CAPM Intuition
Residual Correlation and Factor Models
6.2 The Principle of Diversification
Insurance Analogies to Factor Risk and Firm-Specific Risk
Quantifying the Diversification of Firm-Specific Risk
6.3 Multifactor Models
The Multifactor Model Equation
Interpreting Common Factors
6.4 Estimating the Factors
Using Factor Analysis to Generate Factor Portfolios
Using Macroeconomic Variables to Generate Factors
Using Characteristic-Sorted Portfolios to Estimate the Factors
6.5 Factor Betas
What Determines Factor Betas?
Factor Models for Portfolios
6.6 Using Factor Models to Compute Covariances and Variances
Computing Covariances in a One-Factor Model
Computing Covariances from Factor Betas in a Multifactor Model
Factor Models and Correlations between Stock Returns
Applications of Factor Models to Mean-Variance Analysis
Using Factor Models to Compute Variances
6.7 Factor Models and Tracking Portfolios
Tracking Portfolios and Corporate Hedging
Capital Allocation Decisions of Corporations and Tracking Portfolios
Designing Tracking Portfolios
6.8 Pure Factor Portfolios
Constructing Pure Factor Portfolios from More Primitive Securities
The Risk Premiums of Pure Factor Portfolios
6.9 Tracking and Arbitrage
Using Pure Factor Portfolios to Track the Returns of a Security
The Expected Return of the Tracking Portfolio
Decomposing Pure Factor Portfolios into Weights on More Primitive Securities
6.10 No Arbitrage and Pricing:The Arbitrage Pricing Theory
The Assumptions of the Arbitrage Pricing Theory
Arbitrage Pricing Theory with No Firm-Specific Risk
Graphing the APT Risk Return Equation
Verifying the Existence of Arbitrage
The Risk-Expected Return Relation for Securities with Firm-Specific Risk
6.11 Estimating Factor-Risk Premiums and Factor Betas
6.12 Empirical Tests of the Arbitrage Pricing Theory
Empirical Implications of the APT
Evidence from Factor Analysis Studies
Evidence from Studies with Macroeconomic Factors
Evidence from Studies That Use Firm Characteristics
6.13 Summary and Conclusions
7 Pricing Derivatives
7.1 Examples of Derivatives
Forwards and Futures
Swaps
Options
Real Assets
Mortgage-Backed Securities
Structured Notes
7.2 The Basics of Derivatives Pricing
Perfect Tracking Portfolios
No Arbitrage and Valuation
Applying the Basic Principles of Derivatives Valuation to Value Forwards
7.3 Binomial Pricing Models
Tracking and Valuation:Static versus Dynamic Strategies
Binomial Model Tracking of a Structured Bond
Using Tracking Portfolios to Value Derivatives
Risk-Neutral Valuation of Derivatives:The Wall Street Approach
7.4 Multiperiod Binomial Valuation
How Restrictive Is the Binomial Process in a Multiperiod Setting?
Numerical Example of Multiperiod Binomial Valuation
Algebraic Representation of Two-Period Binomial Valuation
7.5 Valuation Techniques in the Financial Services Industry
Numerical Methods
The Risk-Free Rate Used by Wall-Street Firms
7.6 Market Frictions and Lessons from the Fate of Long-Term Capital Management
7.7 Summary and Conclusions
8 Options
8.1 A Description of Options and Options Markets
European and American Options
The Four Features of Options
8.2 Option Expiration
8.3 Put-Call Parity
Put-Call Parity and Forward Contracts:Deriving the Formula
Put-Call Parity and a Minimum Value for a Call
Put-Call Parity and the Pricing and Premature Exercise of American Calls
Put-Call Parity and Corporate Securities as Options
Put-Call Parity and Portfolio Insurance
8.4 Binomial Valuation of European Options
8.5 Binomial Valuation of American Options
American Puts
Valuing American Options on Dividend-Paying Stocks
8.6 Black-Scholes Valuation
Black-Scholes Formula
Dividends and the Black-Scholes Model
8.7 Estimating Volatility
Using Historical Data
The Implied Volatility Approach
8.8 Black-Scholes Price Sensitivity to Stock Price,Volatility,Interest Rates,and Expiration Time
Delta:The Sensitivity to Stock Price Changes
Black-Scholes Option Values and Stock Volatility
Option Values and Time to Option Expiration
Option Values and the Risk-Free Interest Rate
A Summary of the Effects of the Parameter Changes
8.9 Valuing Options on More Complex Assets
The Forward Price Version of the Black-Scholes Model
Computing Forward Prices from Spot Prices
Applications of the Forward Price Version of the Black-Scholes Formula
American Options
American Call and Put Currency Options
8.10 Empirical Biases in the Black-Scholes Formula
8.11 Summary and Conclusions
PART Ⅲ Valuing Real Assets
9 Discounting and Valuation
9.1 Cash Flows of Real Assets
Unlevered Cash Flows
Creating Pro-Forma Forecasts of Financial Statements
9.2 Using Discount Rates to Obtain Present Values
Single Period Returns and Their Interpretation
Rates of Return in a Multiperiod Setting
Value Additivity and Present Values of Cash Flow Streams
Inflation
Annuities and Perpetuities
Simple Interest
Time Horizons and Compounding Frequencies
9.3 Summary and Conclusions
10 Investing in Risk-Free Projects
10.1 Cash Flows
10.2 Net Present Value
Discounted Cash Flow and Net Present Value
Project Evaluation with the Net Present Value Rule
Present Values and Net Present Values Have the Value Additivity Property
Using NPV with Capital Constraints
Using NPV to Evaluate Projects That Can Be Repeated over Time
10.3 Economic Value Added(EVA)
10.4 Using NPV for Other Corporate Decisions
10.5 Evaluating Real Investments with the Internal Rate of Return
Intuition for the IRR Method
Numerical Iteration of the IRR
NPV and Examples of IRR
Term Structure Issues
Cash Flow Sign Patterns and the Number of Internal Rates of Return
Sign Reversals and Multiple Internal Rates of Return
Mutually Exclusive Projects and the Internal Rate of Return
10.6 Popular but Incorrect Procedures for Evaluating Real Investments
The Payback Method
The Accounting Rate of Return Criterion
10.7 Summary and Conclusions
Appendix 10A The Term Structure of Interest Rates
Term Structure Varieties
Spot Rates,Annuity Rates,and Par Rates
11 Investing in Risky Projects
11.1 Tracking Portfolios and Real Asset Valuation
Asset Pricing Models and the Tracking Portfolio Approach
Implementing the Tracking Portfolio Approach
Linking Financial Asset Tracking to Real Asset Valuation with the SML
11.2 The Risk-Adjusted Discount Rate Method
Defining and Implementing the Risk-Adjusted Discount Rate Method with Given Betas
The Tracking Portfolio Method Is Implicit in the Risk-Adjusted Discount Rate Method
11.3 The Effect of Leverage on Comparisons
The Balance Sheet for an All-Equity-Financed Firm
The Balance Sheet for a Firm Partially Financed with Debt
The Right-Hand Side of the Balance Sheet as a Portfolio
Distinguishing Risk-Free Debt from Default-Free Debt
Graphs and Numerical Illustrations of the Effect of Debt on Risk
11.4 Implementing the Risk-Adjusted Discount Rate Formula with Comparison Firms
The CAPM,the Comparison Method,and Adjusting for Leverage
Obtaining a Cost of Capital from the Arbitrage Pricing Theory(APT)
Costs of Capital Computed with Alternatives to CAPM and APT:Dividend Discount Models
What if No Pure Comparison Firm Exists?
11.5 Pitfalls in Using the Comparison Method
Project Betas Are Not the Same as Firm Betas
Growth Opportunities Are Usually the Source of High Betas
Multiperiod Risk-Adjusted Discount Rates
Empirical Failures of the CAPM and APT
What if No Comparable Line of Business Exists?
11.6 Estimating Beta from Scenarios:The Certainty Equivalent Method
Defining the Certainty Equivalent Method
Identifying the Certainty Equivalent from Models of Risk and Return
The CAPM,Scenarios,and the Certainty Equivalent Method
The APT and the Certainty Equivalent Method
The Relation between the Certainty Equivalent Formula and the Tracking Portfolio Approach
11.7 Obtaining Certainty Equivalents with Risk-Free Scenarios
A Description of the Risk-Free Scenario Method
Implementing the Risk-Free Scenario Method in a Multiperiod Setting
Providing Certainty Equivalents without Knowing It
11.8 Computing Certainty Equivalents from Prices in Financial Markets
Forward Prices
Tracking Portfolios That Contain Forward Contracts
11.9 Summary and Conclusions
Appendix 11A Statistical Issues in Estimating the Cost of Capital for the Risk-Adjusted Discount Rate Method
Estimation Error and Denominator-Based Biases in Present Value Estimates
Geometric versus Arithmetic Means and the Compounding-Based Bias
12 Allocating Capital and Corporate Strategy
12.1 Sources of Positive Net Present Value
Sources of Competitive Advantage
Economies of Scope,Discounted Cash Flow,and Options
Option Pricing Theory as a Tool for Quantifying Economies of Scope
12.2 Valuing Strategic Options with the Real Options Methodology
Valuing a Mine with No Strategic Options
Valuing a Mine with an Abandonment Option
Valuing Vacant Land
Valuing the Option to Delay the Start of a Manufacturing Project
Valuing the Option to Expand Capacity
Valuing Flexibility in Production Technology:The Advantage of Being Different
12.3 The Ratio Comparison Approach
The Price/Earnings Ratio Method
When Comparison Investments Are Hidden in Multibusiness Firms
The Effect of Earnings Growth and Accounting Methodology on Price/Earnings Ratios
The Effect of Leverage on Price/Earnings Ratios
Adjusting for Leverage Differences
12.4 The Competitive Analysis Approach
Determining a Division's Contribution to Firm Value
Disadvantages of the Competitive Analysis Approach
12.5 When to Use the Different Approaches
Can These Approaches Be Implemented?
Valuing Asset Classes versus Specific Assets
Tracking Error Considerations
Other Considerations
12.6 Summary and Conclusions
13 Corporate Taxes and the Impact of Financing on Real Asset Valuation
13.1 Corporate Taxes and the Evaluation of Equity-Financed Captial Expenditures
The Cost of Capital
The Risk of the Components of the Firm's Balance Sheet with Tax-Deductible Debt Interest
Identifying the Unlevered Cost of Capital
13.2 The Adjusted Present Value Method
Three Sources of Value Creation for Shareholders
Debt Capacity
The APV Method Is Versatile and Usable with Many Valuation Techniques
13.3 The Weighted Average Cost of Capital
Valuing a Business with the WACC Method When a Debt Tax Shield Exists
WACC Components:The Cost of Equity Financing
WACC Components:The Cost of Debt Financing
Determining the Costs of Debt and Equity When the Project Is Adopted
The Effect of Leverage on a Firm's WACC When There Are No Taxes
The Effect of Leverage on a Firm's WACC with a Debt Interest Corporate Tax Deduction
Evaluating Individual Projects with the WACC Method
13.4 Discounting Cash Flows to Equity Holders
Positive NPV Projects Can Reduc Share Prices When Transfers to Debt Holders Occur
Computing Cash Flows to Equity Holders
Valuing Cash Flow to Equity Holders
Real Options versus the Risk-Adjusted Discount Rate Method
13.5 Summary and Conclusions
PART Ⅳ Capital Structure
14 How Taxes Affect Financing Choices
14.1 The Modigliani-Miller Theorem
Slicing the Cash Flows of the Firm
Proof of the Modigliani-Miller Theorem
Assumptions of the Modigliani-Miller Theorem
14.2 How an Individual Investor Can "Undo" a Firm's Capital Structure Choice
14.3 How Risky Debt Affects the Modigliani-Miller Theorem
The Modigliani-Miller Theorem with Costless Bankruptcy
Leverage Increases and Wealth Transfers
14.4 How Corporate Taxes Affect the Capital Structure Choice
How Debt Affects After-Tax Cash Flows
How Debt Affects the Value of the Firm
14.5 How Personal Taxes Affect Capital Structure
The Effect of Personal Taxes on Debt and Equity Rates of Return
Capital Structure Choices When Taxable Earnings Can Be Negative
14.6 Taxes and Preferred Stock
14.7 Taxes and Municipal Bonds
14.8 The Effect of Inflation on the Tax Gain from Leverage
14.9 The Empirical Implications of the Analysis of Debt and Taxes
Do Firms with More Taxable Earnings Use More Debt Financing?
How the Tax Reform Act of 1986 Affected Capital Structure Choice
14.10 Are There Tax Advantages to Leasing?
Operating Leases and Capital Leases
The After-Tax Costs of Leasing and Buying Capital Assets
14.11 Summary and Conclusions
Appendix 14A How Personal Taxes Affect the Capital Structure Choice:The Miller Equilibrium
15 How Taxes Affect Dividends and Share Repurchases
15.1 How Much of U.S.Corporate Earnings Is Distributed to Shareholders?
Aggregate Share Repurchases and Dividends
Dividend Policies of Selected U.S.Firms
15.2 Distribution Policy in Frictionless Markets
The Miller-Modigliani Dividend Irrelevancy Theorem
Optimal Payout Policy in the Absence of Taxes and Transaction Costs
15.3 The Effect of Taxes and Transaction Costs on Distribution Policy
A Comparison of the Classical and Imputation Tax Systems
How Taxes Affect Dividend Policy
Dividend Clienteles
Why Do Corporations Pay Out So Much in Taxed Dividends?
15.4 How Dividend Policy Affects Expected Stock Returns
Ex-Dividend Stock Price Movements
The Cross-Sectional Relation between Dividend Yields and Stock Returns
15.5 How Dividend Taxes Affect Financing and Investment Choices
Dividends,Taxes,and Financing Choices
Dividends,Taxes,and Investment Distortions
15.6 Personal Taxes,Payout Policy,and Capital Structure
15.7 Summary and Conclusions
16 Bankruptcy Costs and Debt Holder-Equity Holder Conflicts
16.1 Bankruptcy
The U.S.Bankruptcy Code
The Direct Costs of Bankruptcy
16.2 Debt Holder-Equity Holder Conflicts:An Indirect Bankruptcy Cost
Equity Holder Incentives
The Debt Overhang Problem
The Shortsighted Investment Problem
The Asset Substitution Problem
The Incentives of a Firm to Take Higher Risks:The Case of Unistar
How Do Debt Holders Respond to Shareholder Incentives?
The Reluctance to Liquidate Problem
16.3 How Chapter 11 Bankruptcy Mitigates Debt Holder-Equity Holder Incentive Problems
16.4 How Can Firms Minimize Debt Holder-Equity Holder Problems?
Protective Covenants
Bank and Privately Placed Debt
The Use of Short-Term versus Long-Term Debt
Security Design:The Use of Convertibles
The Use of Project Financing
Management Compensation Contracts
16.5 Empirical Implications for Financing Choices
How Investment Opportunities Influence Financing Choices
How Financing Choices Influence Investment Choices
Firm Size and Financing Choices
Evidence from Japan
16.6 Summary and Conclusions
17 Capital Structure and Corporate Strategy
17.1 The Stakeholder Theory of Capital Structure
Nonfinancial Stakeholders
How the Costs Imposed on Stakeholders Affect the Capital Structure Choice
Financial Distress and Reputation
Whom Would You Rather Work For?
Summary of the Stakeholder Theory
17.2 The Benefits of Financial Distress with Committed Stakeholders
Bargaining with Unions
Bargaining with the Government
17.3 Capital Structure and Competitive Strategy
Does Debt Make Firms More or Less Aggressive Competitors?
Debt and Predation
Empirical Studies of the Relationship between Debt Financing and Market Share
17.4 Dynamic Capital Structure Considerations
The Pecking Order of Financing Choices
An Explanation Based on Management Incentives
An Explanation Based on Managers Having More Information Than Investors
An Explanation Based on the Stakeholder Theory
An Explanation Based on Debt Holder-Equity Holder Conflicts
17.5 Empirical Evidence on the Capital Structure Choice
17.6 Summary and Conclusions
PART Ⅴ Incentives,Information,and Corporate Control
18 How Managerial Incentives Affect Financial Decisions
18.1 The Separation of Ownership and Control
Whom Do Managers Represent?
What Factors Influence Managerial Incentives?
How Management Incentive Problems Hurt Shareholder Value
Why Shareholders Cannot Control Managers
Changes in Corporate Governance
Do Corporate Governance Problems Differ Across Countries?
18.2 Management Shareholdings and Market Value
The Effect of Management Shareholdings on Stock Prices
Management Shareholdings and Firm Value:The Empirical Evidence
18.3 How Management Control Distorts Investment Decisions
The Investment Choices Managers Prefer
Outside Shareholders and Managerial Discretion
18.4 Capital Structure and Managerial Control
The Relation between Shareholder Control and Leverage
How Leverage Affects the Level of Investment
A Monitoring Role for Banks
A Monitoring Role for Private Equity
18.5 Executive Compensation
The Agency Problem
Is Executive Pay Closely Tied to Performance?
Is Pay-for-Performance Sensitivity Increasing?
How Does Firm Value Relate to the Use of Performance-Based Pay?
Is Executive Compensation Tied to Relative Performance?
Stock-Based versus Earnings-Based Performance Pay
Compensation Issues,Mergers,and Divestitures
18.6 Summary and Conclusions
19 The Information Conveyed by Financial Decisions
19.1 Management Incentives When Managers Have Better Information Than Shareholders
Conflicts between Short-Term and Long-Term Share Price Maximization
19.2 Earnings Manipulation
Incentives to Increase or Decrease Accounting Earnings
19.3 Shortsighted Investment Choices
Management's Reluctance to Undertake Long-Term Investments
What Determines a Manager's Incentive to Be Shortsighted?
19.4 The Information Content of Dividend and Share Repurchase Announcements
Empirical Evidence on Stock Returns at the Time of Dividend Announcements
A Dividend Signaling Model
Dividend Policy and Investment Incentives
Dividends Attract Attention
19.5 The Information Content of the Debt-Equity Choice
A Signaling Model Based on the Tax Gain/Financial Distress Cost Trade-Off
Adverse Selection Theory
19.6 Empirical Evidence
What Is an Event Study?
Event Study Evidence
How Does the Availability of Cash Affect Investment Expenditures?
19.7 Summary and Conclusions
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
Summary of Mergers and Acquisitions
20.3 Recent Trends in Takeover Activity
The Demise of Hostile Takeovers and LBOs in the 1990s
Cross Border Acquisitions
20.4 Sources of Takeover Gains
Tax Motivations
Operating Synergies
Management Incentive Issues and Takeovers
Financial Synergies
Is an Acquisition Required to Realize Tax Gains,Operating Synergies,Incentive Gains,or Diversification?
20.5 The Disadvantages of Mergers and Acquisitions
Conglomerates Can Misallocate Capital
Mergers Can Reduce the Information Contained in Stock Prices
A Summary of the Gains and Costs of Diversification
20.6 Empirical Evidence on Takeover Gains for Non-LBO Takeovers
Stock Returns around the Time of Takeover Announcements
Empirical Evidence on the Gains to Diversification
Accounting Studies
20.7 Empirical Evidence on the Gains from Leveraged Buyouts(LBOs)
How Leveraged Buyouts Affect Stock Prices
Cash Flow Changes Following Leveraged Buyouts
20.8 Valuing Acquisitions
Valuing Synergies
A Guide to the Valuation of Synergies
20.9 Financing Acquisitions
Tax Implications of the Financing of a Merger or an Acquisition
Accounting Implications of the Financing of a Merger or an Acquisition
Capital Structure Implications in the Financing of a Merger or an Acquisition
Information Effects from the Financing of a Merger or an Acquisition
20.10 Bidding Strategies in Hostile Takeovers
The Free-Rider Problem
Solutions to the Free-Rider Problem
20.11 Management Defenses
Greenmail
Staggered Boards and Supermajority Rules
Poison Pills
Antitakeover Laws
Are Takeover Defenses Good for Shareholders?
20.12 Summary and Conclusions
PART Ⅵ Risk Management
21 Risk Management and Corporate Strategy
21.1 Risk Management and the Modigliani-Miller Theorem
The Investor's Hedging Choice
Implications of the Modigliani-Miller Theorem for Hedging
Relaxing the Modigliani-Miller Assumptions
21.2 Why Do Firms Hedge?
A Simple Analogy
How Does Hedging Increase Expected Cash Flows?
How Hedging Reduces Taxes
Hedging to Avoid Financial Distress Costs
Hedging to Help Firms Plan for Their Capital Needs
How Hedging Improves Executive Compensation Contracts and Performance Evaluation
How Hedging Improves Decision Making
21.3 The Motivation to Hedge Affects What Is Hedged
21.4 How Should Companies Organize Their Hedging Activities?
21.5 Do Risk Management Departments Always Hedge?
21.6 How Hedging Affects the Firm's Stakeholders
How Hedging Affects Debt Holders and Equity Holders
How Hedging Affects Employees and Customers
Hedging and Managerial Incentives
21.7 The Motivation to Manage Interest Rate Risk
Alternative Liability Streams
How Do Corporations Choose between Different Liability Streams?
21.8 Foreign Exchange Risk Management
Types of Foreign Exchange Risk
Why Do Exchange Rates Change?
Why Most Firms Do Not Hedge Economic Risk
21.9 Which Firms Hedge?The Empirical Evidence
Larger Firms Are More Likely to Use Derivatives Than Smaller Firms
Firms with More Growth Opportunities Are More Likely to Use Derivatives
Highly Levered Firms Are More Likely to Use Derivatives
Risk Management Practices in the Gold Mining Industry
Risk Management Practices in the Oil and Gas Industry
21.10 Summary and Conclusions
22 The Practice of Hedging
22.1 Measuring Risk Exposure
Using Regression to Estimate the Risk Exposure
Measuring Risk Exposure with Simulations
Prespecification of Factor Betas from Theoretical Relations
Volatility as a Measure of Risk Exposure
Value at Risk as a Measure of Risk Exposure
22.2 Hedging Short-Term Commitments with Maturity-Matched Forward Contracts
Review of Forward Contracts
How Forward-Date Obligations Create Risk
Using Forwards to Eliminate the Oil Price Risk of Forward Obligations
Using Forward Contracts to Hedge Currency Obligations
22.3 Hedging Short-Term Commitments with Maturity-Matched Futures Contracts
Review of Futures Contracts,Marking to Market,and Futures Prices
Tailing the Futures Hedge
22.4 Hedging and Convenience Yields
When Convenience Yields Do Not Affect Hedge Ratios
How Supply and Demand for Convenience Determine Convenience Yields
Hedging the Risk from Holding Spot Positions in Commodities with Convenience Yields
22.5 Hedging Long-Dated Commitments with Short-Maturing Futures or Forward Contracts
Maturity,Risk,and Hedging in the Presence of a Constant Convenience Yield
Quantitative Estimates of the Oil Futures Stack Hedge Error
Intuition for Hedging with a Maturity Mismatch in the Presence of a Constant Convenience Yield
Convenience Yield Risk Generated by Correlation between Spot Prices and Convenience Yields
Basis Risk
22.6 Hedging with Swaps
Review of Swaps
Hedging with Interest Rate Swaps
Hedging with Currency Swaps
22.7 Hedging with Options
Why Option Hedging Is Desirable
Covered Option Hedging:Caps and Floors
Delta Hedging with Options
22.8 Factor-Based Hedging
Computing Factor Betas for Cash Flow Combinations
Computing Hedge Ratios
Direct Hedge Ratio Computations:Solving Systems of Equations
22.9 Hedging with Regression
Hedging a Cash Flow with a Single Financial Instrument
Hedging with Multiple Regression
22.10 Minimum Variance Portfolios and Mean-Variance Analysis
Hedging to Arrive at the Minimum Variance Portfolio
Hedging to Arrive at the Tangency Portfolio
22.11 Summary and Conclusions
23 Interest Rate Risk Management
23.1 The Dollar Value of a One Basis Point Decrease(DV01)
Methods Used to Compute DV01 for Traded Bonds
Using DV01 to Estimate Price Changes
DV01s of Various Bond Types and Portfolios
Using DV01s to Hedge Interest Rate Risk
How Compounding Frequency Affects the Stated DV01
23.2 Duration
The Duration of Zero-Coupon Bonds
The Duration of Coupon Bonds
Durations of Discount and Premium-Coupon Bonds
How Duration Changes as Time Elapses
Durations of Bond Portfolios
How Duration Changes as Interest Rates Increase
23.3 Linking Duration to DV01
Duration as a Derivative
Formulas Relating Duration to DV01
Hedging with DV01s or Durations
23.4 Immunization
Ordinary Immunization
Immunization Using DV01
Practical Issues to Consider
Contingent Immunization
Immunization and Large Changes in Interest Rates
23.5 Convexity
Defining and Interpreting Convexity
Estimating Price Sensitivity to Yield
Misuse of Convexity
23.6 Interest Rate Hedging When the Term Structure Is Not Flat
The Yield-Beta Solution
The Parallel Term Structure Shift Solution:Term Structure DV01
MacAuley Duration and Present Value Duration
Present Value Duration as a Derivative
23.7 Summary and Conclusions
Appendix A Mathematical Tables
Index