【正文】 im a te Pr e m iu mA c tu a l? THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 15 March 2, 1998 2:01 PM 15 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved STUDIES USING MARKET DERIVED METHODS Blanchard, Oliver J., “Movements in the Equity Premium”, Brookings Paper on Economic Activity, 2:1993, pp. 75138. Corcoran, Patrick J. and Leonard G. Sahling, “The Cost of Capital: How High is It?”, The Federal Reserve Bank of New York: Quarterly Review, Summer 1982, p. 2331. Farrell, James L., “The Dividend Discount Model: A Primer,” Financial Analysts Journal, 1985, v41 (6), pp. 1619, 2225. Fuller, Russell J., “Programming the ThreePhase Dividend Discount Model,” Journal of Portfolio Management, 1979, v5(4), 2832. Gordon, Myron J. and E. Shapiro, “Capital Equipment Analysis: The Required Return of Profit,” Management Science, 3 pp. 102110 (October 1956). Holland, Daniel M. and Stewart C. Myers, “Trends in Corporate Profitability and Capital Costs” in Robert Lindsay, ed. The Nation’s Capital Needs: Three Studies, Committee for Economic Development, New York, pp. 103188. Rozeff, Michael S., “The ThreePhase Dividend Discount Model the ROPE Model,” Journal of Portfolio Management, 1990, v16(2), pp. 3642. Williams, ., The Theory of Investment Value, Harvard University Press, Cambridge, Mass., 1938. THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 16 March 2, 1998 2:01 PM 16 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved BCG/HOLT RESEARCH USING MARKET DERIVED METHODS by Rawley Thomas HOLT?s Discount Rate, April 25, 1986, 122 pages ? Covers cash estimation, market derived methodology, tax premiums, leverage, parison to other academic research, and CAPM New Electric Utility Discount Rate, September 6, 1987, 40 pages ? Shows discount rates for utilities that are higher than industrials. Postulates government regulation and the risk of unanticipated inflation may cause the higher risk. Valuation Model Improvements, March 3, 1989, 5 pages ? Covers leverage research New System Adjustments, May 3, 1989, 4 pages ? Covers revised leverage adjustments Real Equity Rates, October 1, 1989, 21 pages ? Updates cost of capital research on tax premiums and leverage Real Equity Discount Rates Data, October 2, 1989, 23 pages ? Displays IRS, Federal Reserve, and HOLT data underlying discount rate research 19501988. Effect of Proposed Change on Stock Prices, October 3, 1989, 38 pages ? Accounts for 200 point drop in market by analyzing effect of capital gains indexation versus lower capital gains tax rates Responses to Equity Discount Rate Research, November 2, 1989, 4 pages ? Congressional response to HOLT research Another Response to Discount Rate Research, December 4, 1989, 10 pages ? Department of Treasury response to HOLT research Volatility “Risk” Versus Inflation Risk, July 25, 1990, 11 pages ? Compares CAPM volatility risk to inflation risk Investor?s Discount Rate for Oil Companies, March 22, 1991, 63 pages ? Correlates oil industry market derived equity discount rates to government ownership and leverage THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 17 March 2, 1998 2:01 PM 17 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved MARKET DERIVED DISCOUNT RATE Price = Discounted Present Value of Expected Future Net Cash Flows Corporate Sector Cash Flows vary with the structural characteristics of an economy Investors Discount Rate is volatile SP 400 DJIA 30 etc. THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 18 March 2, 1998 2:01 PM 18 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved BCG?S METHOD FOR DERIVING INVESTOR DISCOUNT RATES (WACC?s) DIFFERS FROM TRADTIONAL CAPM METHODS. WE START WITH A SAMPLE AND A VALUATION MODEL TO DERIVE A WACC. THEN WE SPLIT THE WACC INTO ITS DEBT AND EQUITY COMPONENTS. FROM THE EQUITY RATE, WE CALCULATE THE RISK PREMIUM OVER GOVERNMENT BOND RATES. Sample of Companies Caculate CFROI for Sample Calculate Growth rates for Country Economy Employ Present Value Valuation Model Determine Market Derived Investor Discount Rate (WACC) Cost of Debt Market Leverage Market Derived Real Equity Rate Inflationary Expectations Market Derived Equity Risk Premium Government Bond Rates THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 19 March 2, 1998 2:01 PM 19 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved CFROI?S CORRELATE HIGHLY WITH THE FUNDAMENTALS OF INFLATION, AND CORPORATE TAXES 1996 DISCOUNT RATE SAMPLE 01234567891011121950 1955 1960 1965 1970 1975 1980 1985 1990 1995Y ea r% ?96 Actual ?97 Forecast “Best Fit Line” Fundamental CFROI = * GDP Deflator Inflation * Corporate Tax Rate tStatistics: on GDP Deflator Inflation。THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 1 March 2, 1998 2:01 PM 1 Copyright 1996 BCG/HOLT Planning Associates All Rights Reserved BCG?S VALUE MANAGEMENT FRAMEWORK AN OVERVIEW FOR MBA STUDENTS By Rawley Thomas Director of Research The Boston Consulting Group 200 South Wacker Drive Chicago, Illinois 60606 3126272618 THE BOSTON CONSULTING GROUP P:\MasterDk\ BCG?s Value Management Framework An Overview for MBA Rt rt (Ppt) Slide 2 March 2, 1998 2: