BCG制作PPT模板绝对精美PPT教学课件

1、Questions and resultswhether there really are pervasive factors that are directly associated with size and book-to-market.Whether there are risk premia associated with these factors. There is no discernible separate risk factor associated with high or low book-to-market (characteristic) firms.There

2、is no return premium associated with any of the three factors identified by Fama and French (1993), suggesting that the high returns related to these portfolios cannot be viewed as compensation for factor risk. rather than risk factor loading第1页/共15页Three models of the return generating processExten

3、d to Fama and Frenchs Factor pricing modelDenial and Titmams Characteristic-based model Model 1: Add distress factorModel 2: Make factor loadings vary over timeModel 3: Returns depend on characteristics Then authors will do empirical test andfix it on these three models respectively, the authors rej

4、ect model 1and 2, then concluded that it is the characteristics that appear to explain the cross-sectional variation in stock returns.第2页/共15页Factor loadings still have big covariance with average returns after new regression No big difference between the average returns of different factor loadings

5、. Research ideas and goalsRe-regression based on9*5 portfolios and analysis it Authors pointCharacteristic-based modelFama and Frenchs pointFactor pricing modelWeather the high returns of high book-to-market and small size stocks can be attributed to their factor loadings第3页/共15页Data Source第4页/共15页T

6、he rule of sortingPhase 1Phase 2Phase 3Rank all firms by: Their book-to-market(BM) ratio at the end of year t - 1 And their market capitalization (ME) at the end of June of year tWe form 33.3 percent and 66.7 percent breakpoints for book-to-market (BM) and ME based on these rankings.Starting in July

7、 of year t, we then place all stocks into these nine portfolios.The firms remain in these portfolios from the beginning of July of year t the end of June of year t + 1.In this paper, authors give a nine portfolios sorting. 第5页/共15页Why reg. returns in -6-42 monthThe average preformation HML portfolio

8、s returns are plotted in the figure.-0.04-0.0200.020.040.060.08-42-36-30-24-18-12-60第6页/共15页Based on the sorting rule mentioned before, we regression all stocks, :Further sorted each of the 9 portfolios into 5 sub portfolios based on their beta coeffientients.Present the mean excess returns of the 4

9、5 portfolios. Do regression by firmsControl the BM &SZ.With beta increasing, will the returns increase ?No positive relationDifferent factor loadings, dont have different returns. Which means that model 1 and 2 based on factor pricing model should be reject, positive relationVerify Fama & French s p

10、oint.Should test model 1 and 2 forward。NConstruct characteristics-controlled portfoliosFurther sorted into 45 portfoliosYPresent mean excess return 第7页/共15页Mean excess returns by 9*5 portfolios第8页/共15页Time series reg. of each portfolio returnDo regression by firmsControl the BM &SZ.With beta increas

11、ing, will the returns increase ?No positive relationDifferent factor loadings, dont have different returns. Which means that model 1 and 2 based on factor pricing model should be reject, positive relationVerify Fama & French s point.Should test model 1 and 2 forward。NDo time series reg. based on 9*5

12、 porofoliosFurther sorted into 45 portfoliosYPresent mean excess return 第9页/共15页Sample Slides in the New FormatSeptember 2007第10页/共15页Graphs第11页/共15页Two reasons for pharmaceutical spin-offsMonetize a low priority project or provide a structure to fund a project externallySpin-offProduct value Is thi

13、s a strategic priority? Does it align our TA focus now? Is there value for this in the future?Internal funding Can we optimally fund this? Capabilities Are this products assets separable from our other programs?YFund internallyShelve NFund externallyMonetizeNYNYHow have other companies spun-off or d

14、ivestedits non-core assets?第12页/共15页We analyzed four main levers of biotech deal value2. Cost sharing/reimbursementSale and marketing costsDevelopment related1. Up front payments3. Milestone payments4. RoyaltyManufacturing costR&D costsSales relatedTotal deal value+Typically splitby geography第13页/共1

15、5页Project consists of two modulesSteering committeeCSM Jaap KerstjensBCG expertsWouter-Jan SchoutenEmile GostelieProject managementCSM (T.B.C)100%1 BCG 50%Complexity managementCSM Control 100% Sales/Marketing100% Manufacturing100%1 BCG consultant100%Process reengineeringCSM operations 200% Purchasing Manufacturing Finance1 BCG consultant1 100% Overall project management Food i