Fama-french four-factor model
- excess return on a broad market portfolio (market risk factor, CAPM)
- difference in return between a large-cap and small-cap portfolio (size risk factor)
- difference in return between high and low book-to-market stock (value risk factor)
- momentum (how managerial actions can add or subtract value)
earnings surprises
difference between analysts’ consensus forecasts and the realized value of earnings
Cahart four-factor financial model
- based on cross-sectional inferences
- may be subject to omitted variables
2 types of event studies
- stock return models (single equation, limited ability to represent temporal chain)
- persistence modeling (system of equations)
cumulative abnormal return
- abnormal returns relative to a model (CAPM)
- short-term horizons
buy and hold return
abnormal return an investor would earn from holding stock over an extended period
calendar portfolio
- all stocks of firms with the event as unit of analysis
- measures long-term abnormal returns of portfolio
matched-pair return model
only stocks of the focal firm and matched firm
systematic risk
part of the total risk explained by changes in overall market portfolio returns due to inflation, interest rate changes, etc.
measuring investor response using event studies… why?
it eliminates the dependence on accounting informations, assuming that markets are efficient and allow for an inference of cause and effect
measuring investor response using calendar portfolio theory..
- create portfolio including all stocks of firms with the event as unit of analysis
- intemporal variation of portfolio returns
- average is measures, abnormal performance hard to identify
measuring investor response using persistence modeling
each equation tracks the behavior of another important agent
biases in investor response to marketing actions
- investor overconfidence bias
- investor familiarity bias
- loss-aversion bias
- influenced by persuasive communication of companies and analysts
what is marketing-excellence? (previous definition)
a strategy-like activity or process that concerns the firms’ superior ability to perform essential customer-facing activities
3 new insights with regards to marketing excellence
- aspirational and difficult to achieve
- means of achieving organic growth
- refers to marketing ecosystem priority, end-user priority, and marketing agility priority
new definition marketing excellence
a type of firm strategy focused on achieving organic growth by executing the marketing ecosystem priority, the end-user priority and the marketing agility priority
knowledge transfer-based marketing ecosystem
firm can build a symbiotic network of actors in which it exchanges knowledge and cooperates with other actors
offering-based marketing ecosystem
firm builds an interacting network of actors, in which firm dominantly positions itself in the ecosystem by owning offerings provided
owned platform-based ecosystem
firm passively participated and dominantly positions itself in the ecosystem by owning the platform
open source platform-based ecosystem
passively participates and equally positions itself in the ecosystem by owning the platform but not taking a dominant position in it
Burggraeve’s 8 fundamentals new model…
- pricing power (why)
- purpose (why)
- marketing organization (who)
- marketing expertise (who)
- brand health (what)
- value propositions (what)
- way of marketing (how)
- excellence culture (how)
pricing power
increase WTP
purpose
clearly articulate existential reason for being towards all stakeholders
marketing organization
marketing should be a line role
