Keputusan Investasi dalam
Manajemen Bisnis
Keputusan Investasi dalam
Manajemen Bisnis
Peranan Investasi dalam
Manajemen Keuangan
Apa yang Dimaksud dengan
Manajemen Keuangan?
Tujuan Investasi Perusahaan
Organisasi dari Fungsi Investasi
Apa yang Dimaksud dengan
Manajemen Keuangan?
Berkaitan dengan
Pengadaan
, pendanaan,
dan
pengelolaan
aset
dengan beberapa
overall
goal
yang telah
Kebijakan Investasi
Berapa ukuran perusahaan yang
optimal?
Jenis aset apa yang perlu
diadakan?
Aset apa (jika ada) yang harus
INVESTASI PERUSAHAAN 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 5,000,000 10,000,000 15,000,000 20,000,000 25,000,000 30,000,000 35,000,000 40,000,000
Kebijakan Pendanaan
Jenis pendanaan apa yang paling baik?
Campuran pendanaan bagaimana yang
paling baik?
Bagamana dengan Kebijakan Dividend?
Menentukan bagaimana assets (di
NILAI PASAR TOTAL HUTANG 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 50,000,000 100,000,000 150,000,000 200,000,000 250,000,000 300,000,000 350,000,000
Kebijakan Pengelolaan
Aset
Bagaimana memanaje existing assets
efficiently
?
Manajer Keuangan memiliki tingkat
tanggungjawab yang berbeda-beda
atas aset perusahaan.
Penekanan terbesar lebih pada
current
asset management
daripada
fixed asset
NILAI PENGGANTIAN ASET 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 100,000,000 200,000,000 300,000,000 400,000,000 500,000,000
Apa yang Menjadi Tujuan
Investasi Perusahaan?
Memaksimumkan
kemakmuran
Pemegang Saham!
Penciptaan nilai terjadi saat kita
memaksimumkan harga saham
NILAI PASAR EKUITAS 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 100,000,000 200,000,000 300,000,000 400,000,000 500,000,000 600,000,000
Beberapa Perspektif Berbeda dari
Tujuan Investasi Perusahaan
Dapat saja meningkatkan laba saat ini
namun merusak nilai perusahaan (misal,
menunda maintenance, menerbitkan
saham biasa utk didepositokan, dsb.).
Memaksimumkan Laba
Memaksimumkan Laba Setlh Pajak.
Tidak menentukan timing atau durasi dari expected
returns.
Mengabaikan perubahan pada tingkat risiko
perusahaan.
Memaksimumkan
Earnings per Share
Memaksimumkan laba setlh pajak dibagi
dengan jml saham beredar.
Masalahnya
Kelebihan dari Memaksimumkan
Kemakmuran Pemegang Saham
Telah Mempertimbangkan:
Laba dan
EPS baik saat ini maupun masa
depan
;
timing, lamanya, dan risiko
dari laba dan EPS
;
kebijakan
dividend
; serta faktor-faktor lain
yang relevan.
Jadi,
share price
dapat dipandang
GRAFIK INVESTASI DAN NILAI PASAR EKUITAS 200 EMITEN BEJ
(DATA DALAM JUTAAN RUPIAH)
0
1999 2000 2001 2002 2003 2004
Bentuk Perusahaan
Modern
Terdapat PEMISAHAN antara
pemilik dan pengelola.
Modern Corporation
Peran Management
Seorang
agent
adalah individu yag
diberi wewenang oleh orang lain,
yang disebut principal, untuk
bertindak atas nama principal tsb.
Management betindak sebagai
agent
bagi pemilik
Teori Agency
Teori Agency
merupakan cabang
ilmu ekonomi yang berhubungan
dengan perilaku para
principals
dengan para
agents
mereka.
Jensen dan Meckling membangun
Teori Agency
Incentives
tsb antara lain mencakup
opsi saham
,
penghasilan tambahan
,
serta
bonus
.
Principals harus menyediakan
DIVIDEND YANG DIBAYARKAN 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 2,000,000 4,000,000 6,000,000 8,000,000 10,000,000 12,000,000 14,000,000
ARUS KAS 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
-10,000,000 0 10,000,000 20,000,000 30,000,000 40,000,000 50,000,000 60,000,000
PENJUALAN BERSIH 200 EMITEN BEJ TAHUN 1999-2004 (DATA DALAM JUTAAN RUPIAH)
0 50,000,000 100,000,000 150,000,000 200,000,000 250,000,000 300,000,000 350,000,000 400,000,000
Tanggung Jawab Sosial
Memaksimumkan kemakmuran pemegang saham
tidak bertentangan bagi perusahaan untuk memiliki
taggung jawab sosialnya.
Karena produk / jasa yang dihasilkan perusahaan
bersifat baik private maupun social.
Oleh karena itu shareholder wealth maximization
Pengorganisasian Fungsi
Manajemen Keuangan
Board of Directors
President
(Chief Executive Officer)
Vice President Operations
Vice President Marketing
Treasurer
VP of Finance
Controller
Preparing Fin Stmts
Checklist Manajemen
Keuangan
Investment
NPV, IRR, PI, GPM, NPM
Performance
MVE, EPS, PBV, PER, ROI, ROA, ROE
Financing
BUILDING BLOCKS OF MODERN
FINANCE THEORY
1. Savings and Investment in
Perfect Capital Markets
Irving Fisher (1930) shows how capital markets
increase the utility both of economic agents
with surplus wealth (savers) and of agents with investment opportunities that exceed their own wealth (borrowers) by providing each party
with a low-cost means of achieving their goals.
The Fisher Separation Theorem demonstrates
that capital markets yields a single interest rate that both borrowers and lenders can use in
2. Portfolio Theory
Harry Markowitz (1952): “don’t put all your eggs
in one basket”.
Markowitz shows that as you add assets to an
investment portfolio the total risk of that portfolio – as measured by the variance (or standard deviation) of total return – decline continuously, but the expected return of the
portfolio is a weighted average of the expected returns of the individual assets. In other words, by investing in portfolio rather than in
2. Portfolio Theory
His primary theoretical contribution was to
prove that the unique, individual variability in an asset’s return (unsystematic risk) shrinks to insignificance as that asset’s weight in a
2. Portfolio Theory
Efficient Portfolio: risk is minimized for any
given level of expected return or, conversely, where return is maximized for any given level of risk.
The theory, however, did not in and of itself
constitute a useful positive economic theory describing how capital markets quantify and price financial risk. That achievement would come a decade later, when Sharpe (1964)
would add two critical pieces to the Markowitz efficient portfolio to develop (with Lintner
3. Capital Structure Theory
Modigliani and Miller (1958)
The central point of the M&M model is that the
economic value of the bundle of assets owned by a firm derives solely from the stream of
operating cash flows those assets produce. It is the stream of operating cash flows (profits) expected to be generated by those assets that creates value – market participants will
3. Capital Structure
Theory
M&M’s Proposition I:”the market value of any firm
is independent of its capital structure and is given by capitalizing its expected return at the rate ρ appropriate to its risk class”.
M&M’s Proposition II: If the expected return on
the firm’s assets is the constant ρ, then the
3. Capital Structure Theory
Taken together, the two propositions establish
that capital structure is irrelevant in a perfect capital market and the required return on a
given firm’s equity is computed directly from its debt-to-equity ratio and the required return for firms of its risk class.
Since 1958, finance theorists have examined
how relaxing first one and then another assumption affects the capital structure
irrelevance results. The model held up well until corporate taxes, personal taxes, and
3. Capital Structure Theory
The development of agency cost and
asymmetric information models in the
1970s also led to a modification of the
basic M&M model, but even today – after
almost five decades of intensive
theoretical and empirical research – we
can offer no simple, unambiguous answer
to the question, “does capital structure
4. Dividend Policy
Miller and Modigliani (1961)
M&M shows that holding a firm’s investment
policy fixed, the payment of cash dividends
cannot affect firm value in a frictionless market because whatever the firm pays out in dividends it must make up by selling new equity.
Cash flow identity: total cash inflows must equal
5. Asset Pricing Models
Finance became a full-fledged scientific
discipline in 1964 when Sharpe published his paper deriving CAPM.
The CAPM assumes that investors hold
well-diversified portfolio within which the
unsystematic risk of individual assets is
unimportant. Systematic risk, o.t.o.h., refers to an asset’s (or portfolio’s) sensitivity to economy
5. Asset Pricing Models
Sharpe’s main contribution was to uniquely
define systematic risk and to specify exactly how investors can trade off risk and return. He did this by assuming investors can either
invest in risky assets, such as common
stocks, or in a risk-free asset, such as T-bill.
Sharpe’s other contribution was to point out
that, in equilibrium, every asset must offer an expected return that is linearly related to the covariance of its return with expected return on the market portfolio. Mathematically, the
5. Asset Pricing Models
Ross’s (1976) Arbitrage Pricing Theory (APT)
holds that the expected return on a given asset is based on that asset’s sensitivity to one or more systematic factors.
The sensitivities of an asset’s return to each
factor’s realization were called factor loading, and preliminary research suggested that most common stocks were significantly influenced by between three and five factors.
A major problem with the APT, which is still
not solved, is that there is no prior
6. Efficient Capital Market Theory
Fama (1970) presents both a statistical and a
conceptual definition of an efficient capital
market, where efficiency is defined in terms of the speed and completeness with which
capital markets incorporate relevant information into security prices.
In a weak form efficient market, security prices
6. Efficient Capital Market Theory
Research has unambiguously supported
weak form efficiency in almost all major U.S. financial markets.
In a semi-strong-form efficient market,
security prices reflect all relevant, publicly-available information. This is stronger than weak form efficiency, in that it predicts that security prices will always reflect relevant historical information, and will react fully and instantaneously whenever new
6. Efficient Capital Market Theory
In a
strong-form
efficient market, security
7. Option Pricing Theory
Black and Scholes (1973) published an
article describing the model for pricing stock options.
The Black-Scholes Option Pricing Model
(OPM) was a genuine breakthrough because it provided a closed-form solution for
pricing put and call options that relies solely on five observable (or at least readily
calculable) variables; the exercise price of the option, the current price of the firm’s
risk-7. Option Pricing Theory
Very quickly it was discovered that a variety of
systematic biases were present in the pricing model, particularly when it was used to price deep in-the-money and out-of-the-money
options (where the current stock price was, respectively, much greater than or much less than the exercise price of the option.
The basic OPM assumes that stocks do not pay
dividends, and can yield significant pricing
7. Option Pricing Theory
The OPM was developed for European options
– which can only be exercised on the day the option expires – but virtually all real options traded are American options that can be
exercised at any time prior to and including the expiration date.
Since an option gives the owner the right, but
not the obligation, to exercise a trade, it is an ideal tool to use for many hedging activities
8. Agency Theory
The fundamental contribution of the agency
cost model of the firm put forth by Jensen and Meckling (1976) is that it incorporates human nature into a cohesive model of corporate
8. Agency Theory
It is a model that relies on rational behavior
by self-ineterested economic agents who understand the incentives of all the other contracting parties, and who take steps to protect themselves from predictable
exploitation by these parties.
Residual loss, the dollar value of the total
8. Agency Theory
Jensen and Meckling fleshed out their model by
demonstrating both how issuing outside debt can help overcome the agency costs of issuing equity, and how the presence of too much debt can generate an entirely different set of agency problems. This helped convert their work into a full-fledged model of corporate capital
structure, as well as one of corporate
8. Agency Theory
Perhaps the most important application of the
agency cost model is in explaining the
corporate control contests that burst on the scene so dramatically during the 1980s. By viewing the takeover battles of this period as contests between rival management teams for control of corporate resources, it is easy to
8. Agency Theory
(2) why potential acquirers might be willing and
8. Agency Theory
Several aspects of the takeover battles of the
1980s, especially the frequency with which target firm managers and directors adopted value-reducing defenses such as ”poison
pills” and other ”shark repellents,” can only be
explained with an agency cost model that explicitly recognizes the conflict of interest between corporate managers and
shareholders.
Another very important vein of academic
research concerning agency costs has
9. Signaling Theory
Signaling theory was developed in both the
economics and finance literature to explicitly account for the fact that corporate insiders (officers and directors) generally are much
better informed about the current workings and future prospects of a firm than are outside
9. Signaling Theory
Because of the asymmetric information
problem, investors will assign a low average quality valuation to the shares of all firms. In the language of signaling theory, this is
referred as a pooling equilibrium since both
high and low quality firms are relegated to the same valuation “pool”.
Obviously, high-quality firm managers have
9. Signaling Theory
When investors understand the incentives,
they would assign high values to firms that paid high dividends and would assign low valuations to firms that either paid low
dividends or paid none at all. This result is referred to as a separating equilibrium
because investors are able to assign separate, and economically rational,
valuation to high- and low-quality firms. It is also a stable equilibrium, in spite of its
deadweight cost in terms of foregone
investment, because high-quality firms are able to achieve the higher valuation they
9. Signaling Theory
Signaling models, however, have not fared well
in empirical testing because they typically
predict exactly the opposite of what is actually observed corporate behavior. For example,
signaling models typically predict that the most promising (in terms of growth prospects) firms will also pay the highest dividends and will have the highest debt-to-equity ratios. In actual
practice, however, rapidly-growing technology companies tend not to pay any dividends at all while mature companies in stable industries usually pay out most of their earnings as
10. The Modern Theory of
Corporate Control
Motivated by M&A in the 1980s
The first major exposition of a truly modern
theory of corporate control was presented by Bradley (1980), who studies the stock price
performance of companies that are the targets of takeover bids.
Bradley documents that these shares increase in
value by approximately 30% immediately after a
tender offer (a publicly announced offer to buy
shares at a fixed price from anyone who
“tenders” their shares) is announced, and then
10. The Modern Theory of
Corporate Control
Bradley also documents that those shares
which are not purchased in a successful
takeover, as will always occur if a bidder only purchases, say, 51% of the target’s shares, drop in price back towards their initial value immediately after the takeover is completed.
Prior to Bradley’s work, most observers
assumed that bidding firms acquired majority stakes in target firms either to loot the assets of the target company or to profit from an
10. The Modern Theory of
Corporate Control
Bradley’s results are inconsistent with either of
these explanations. Since unpurchased shares remain above their pre-bid price even after a
takeover is completed, it is clear that successful bidders are not looting their acquired
companies because this would have caused the price of unpurchased shares to fall far below
their pre-bid price. On the other hand, since the price of unpurchased shares falls below the
10. The Modern Theory of
Corporate Control
Bradley’s theoretical model assumes that
bidding firm managers will launch a tender
offer primarily in order to gain control over
the assets and operations of a target firm
that is currently being run in a sub-optimal
manner. Once the bidder gains control of
the target, a new, higher valued operating
strategy will be implemented and the
11. The Theory of Financial
Intermediation
Financing through capital markets maybe
costly and using financial intermediation maybe the alternatives.
In academic circles, an early description of the
informational advantage of financial
intermediation was provided in the article by Leland and Pyle (1977). Several other articles that document large, negative returns to
11. The Theory of Financial
Intermediation
James (1987) provides an important
contribution to this literature by
documenting positive returns to corporate
shareholders following the announcement
that a firm has obtained a loan from a
12. Market Microstructure
Theory
Market microstructure is the study of how
securities markets set prices, compensate market makers, and incorporate private information into equilibrium price level.
Microstructure research can be classified into
two separable, though related, streams of analysis. (1) Market structure/spread models
which study the relative merits of different market structure (monopoly specialist versus multiple
12. Market Microstructure
Theory
(2) Price formation models analyze how
private information is incorporated into
securities prices, and study how trade
size, aggregate trading volume, and price
levels are related.
Motivating articles: Ho and Stoll (1981),
SEVERAL BASIC PRINCIPLES
In pricing financial assets, only
systematic risk matters.
Emphasize investment rather than
financing.
Emphasize cash flows rather than
accounting profits.
