BCG制作PPT模板(绝对精美).ppt

1、Introduction and summary,size, leverage, past returns, dividend-yield, earnings-to-price ratios, book-to-market ratios,Risk factors,Book-to-market,Size,Fama and French & CAPM Factor pricing model,Determining Risk premia,size, leverage, past returns, dividend-yield, earnings-to-price ratios, book-to-

2、market ratios,characteristic,Book-to-market,Size,Determining Returns,Denial and Titmam Characteristic-based model,Questions and results,whether there really are pervasive factors that are directly associated with size and book-to-market. Whether there are risk premia associated with these factors.,T

3、here is no discernible separate risk factor associated with high or low book-to-market (characteristic) firms. There 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 co

4、mpensation for factor risk.,Characteristics rather than risk factor loading,Three models of the return generating process,Extend to Fama and Frenchs Factor pricing model,Denial and Titmams Characteristic-based model,Model 3: Returns depend on characteristics,Then authors will do empirical test and f

5、ix it on these three models respectively, the authors reject model 1and 2, then concluded that it is the characteristics that appear to explain the cross- sectional variation in stock returns.,Factor loadings still have big covariance with average returns after new regression,No big difference betwe

6、en the average returns of different factor loadings.,Research ideas and goals,Re-regression based on 9*5 portfolios and analysis it,Authors point Characteristic-based model,Fama and Frenchs point Factor pricing model,Weather the high returns of high book -to-market and small size stocks can be attri

7、buted to their factor loadings,Data Source,The rule of sorting,Phase 1,Phase 2,Phase 3,Rank 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 t,We form 33.3 percent and 66.7 percent breakpoints for book-to-market (BM

8、) and ME based on these rankings.,Starting in July 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.,Why reg. returns in -6-42

9、 month,The average preformation HML portfolios returns are plotted in the figure.,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 45 portfo

10、lios.,Do regression by firms,Control the BM &SZ. With beta increasing, will the returns increase ?,No positive relation,Different factor loadings, dont have different returns. Which means that model 1 and 2 based on factor pricing model should be reject,positive relation,Verify Fama & French s point

11、. Should test model 1 and 2 forward。,N,Construct characteristics-controlled portfolios,Further sorted into 45 portfolios,Y,Present mean excess return,Mean excess returns by 9*5 portfolios,Time series reg. of each portfolio return,Do regression by firms,Control the BM &SZ. With beta increasing, will

12、the returns increase ?,No positive relation,Different factor loadings, dont have different returns. Which means that model 1 and 2 based on factor pricing model should be reject,positive relation,Verify Fama & French s point. Should test model 1 and 2 forward。,N,Do time series reg. based on 9*5 poro

13、folios,Further sorted into 45 portfolios,Y,Present mean excess return,Sample Slides in the New Format,September 2007,Graphs,Two reasons for pharmaceutical spin-offsMonetize a low priority project or provide a structure to fund a project externally,Spin-off,Product value,Is this a strategic priority?

14、 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?,Y,Fund internally,Shelve,N,Fund externally,Monetize,N,Y,N,Y,How have other companies spun-off or divestedits n

15、on-core assets?,We analyzed four main levers of biotech deal value,2. Cost sharing/ reimbursement,Sale and marketing costs,Development related,1. Up front payments,3. Milestone payments,4. Royalty,Manufacturing cost,R&D costs,Sales related,Total deal value,+,Typically split by geography,Project cons

16、ists of two modules,Steering committee,CSM Jaap Kerstjens,BCG experts,Wouter-Jan Schouten Emile Gostelie,Project management,CSM (T.B.C)100% 1 BCG 50%,Complexity management,CSM Control 100% Sales/Marketing100% Manufacturing100% 1 BCG consultant100%,Process reengineering,CSM operations 200% Purchasing Manufacturing Finance 1 BCG consultant1 100