( 您好!臺灣時間:2022/07/02 10:09
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果 :::


研究生(外文):Yu-yan Lin
論文名稱(外文):The Impacts of Advertising and Research and Development on Risks:The Difference between Higher-Risk Firms and Lower-Risk Firms
指導教授(外文):Miao-Ling Chen
外文關鍵詞:advertisingresearch and developmentsystematic riskunsystematic riskquantile regression
  • 被引用被引用:2
  • 點閱點閱:157
  • 評分評分:
  • 下載下載:0
  • 收藏至我的研究室書目清單書目收藏:0


We investigate the relationship between advertising and research and development (R&D) expenditures with the firm’s systematic and unsystematic risks. Our data covers from January 1981 to December 2007 with more than two thousand publicly listed firms in the New York Stock Exchange. In addition to classical least squares approach, we utilize quantile regression model to examine whether the estimated slope parameters vary across different quantiles of the conditional distribution of the firm’s systematic risk and unsystematic risk. We generate six empirical generalizations. (1) Advertising is significantly associated with lower systematic risk for firms with lower, median and higher systematic risk, but with no significant effects on the firms with extremely low systematic risk. (2) R&D is significantly associated with higher systematic risk for firms with median and higher systematic risk, with no significant effect for those with lower systematic risk. (3) Advertising is significantly associated with lower unsystematic risk for firms with higher unsystematic risk, but with no significant effects for those with median and lower unsystematic risk. (4) R&D is significantly associated with higher unsystematic risk for firms with median and higher unsystematic risk, with no significant effect for those with lower unsystematic risk. (5) Our evidence shows that both advertising and R&D have a stronger effect on firms with higher systematic risk (unsystematic risk) than on those with lower systematic risk (unsystematic risk). (6) Moreover, our evidence suggests that advertising and R&D tests resoundingly support our hypothesis that the coefficients vary across the quantiles.
I. Introduction 1
II. Literature Review 4
1. Review of Systematic Risk and Unsystematic Risk 4
2. Effects of Advertising 5
3. Effects of R&D 7
4. Review of Quantile Regression 9
III. Hypotheses and Methodology 12
1. Hypotheses 12
1-1 Advertising, Systematic Risk, Unsystematic Risk 12
1-2 R&D, Systematic Risk, Unsystematic Risk 13
2. Research Method 14
2-1 Ordinary Least Squares Approach 14
2-2 Quantile Regression Model 16
3. Variable Definition 19
4. Data and Sample Selection 22
IV. Result Analysis 24
1. Summary Statistics and Correlation Matrix 24
2. Empirical Results 26
2-1 Results of OLS Analysis 26
2-2 Results of Quantile Regression Analysis 29
V. Conclusion 34
1. Conclusion 34
2. Research Restrains 35
3. Suggestion for Further Research 36
VI. Reference 37
Bain, Joe S. (1951), “Relation of Profit Rate to Industry Concentration: American Manufacturing, 1936-1940,” Quarterly Journal of Economics, 65 (3), 293-324.
——— (1956), “Barriers to New Competition: Their Character and Consequences in Manufacturing Industries,” Cambridge, MA: Harvard University Press.
Ball, Ray, S.P. Kothari, and Jay Shanken (1995), “Problems in Measuring Portfolio Performance: An Application to Contrarian Investment Strategies,” Journal of Financial Economics, 38 (1), 79–107.
Barnes, Michelle L. and Anthony W. Hughes (2002), “A Quantile Regression Analysis of the Cross Section of Stock Market Returns,” Working paper, Federal Reserve Bank of Boston, Boston, USA.
Barth, Mary E., Ron Kasznik, and Maureen F. McNichols (2001), “Analyst Coverage and Intangible Assets,” Journal of Accounting Research, 39 (February), 1–34.
Beaver, William, Paul Kettler, and Myron Scholes (1970), “The Association between Market-Determined and Accounting-Determined Risk Measures,” The Accounting Review, 45 (4), 654–82.
Bodie, Zvi, Alex Kane, Alan J. Marcus (1995), Investments. McGraw-Hill/Irwin.
Bernstein, Jeffrey I. and M. Ishag Nadiri (1988), “Industry R&D Spillovers Rates of Return, and Production in High-Tech Industries,” American Economic Review, 78 (2), 429–434.
Bharadwaj, Sundar G. and Anil Menon (1993), “Determinants of Success in Service-Based Industries: A PIMS-Based Empirical Investigation,” Journal of Services Marketing, 7 (4), 19–40.
Blattberg, Robert C., Richard Briesch, and Edward J. Fox (1995), “How Promotions Work,” Marketing Science, 14 (3), 122–32.
Boudoukh, Jacob, Matthew Richardson, and Robert Whitelaw (1994), “Industry Returns and the Fisher Effect,” Journal of Finance, 49 (5), 1595-1615.
Boulding, William and Richard Staelin (1995), “Identifying Generalizable Effects of Strategic Actions on Prior Performance: The Case of Returns to R&D Spending,” Marketing Science, 14 (3), 222–36.
Buchinsky, Moshe (1998), “Recent Advances in Quantile Regression Models: A Practical Guide for Empirical Research,” Journal of Human Resources, 33 (1), 88-126.
Busby, J. S. and C. G. C. Pitts (1997), “Real Options in Practice: An Exploratory Survey of How Finance Officers Deal with Flexibility in Capital Appraisal,” Management Accounting Research, 8 (2), 169–187.
Capon, Noel, John U. Farley, and Scott Hoenig (1990), “Determinants of Financial Performance: A Meta-Analysis,” Management Science, 36 (10), 1143–59.
Chambers, Dennis, Ross Jennings, and Robert B. Thompson (2002), “Excess Returns to R&D Intensive Firms,” Review of Accounting Studies, 7 (2-3), 133–58.
Chan, Louis K., Josef Lakonishok, and Theodore Sougiannis (2001), “The Stock Market Valuation of Research and Development Expenditures,” Journal of Finance, 56 (6), 2431-56.
Chen, Chien Liang and Chung Ming Kuan (2006), “Taiwan’s Wage Equation and Gender Wage Discrimination: Evidence from Quantile Regression Analysis,” Academia Economic Papers, 34 (4), 435-468.
Chernozhukov, Victor and Christian Hansen (2004), “The Effects of 401(k) Participation on the Wealth Distribution: An Instrumental Quantile Regression Analysis,” Review of Economics and Statistics, 86 (3), 735-751.
Chuang, Chia Chang and Chung Ming Kuan (2005), “A Quantile Regression Analysis of Return-Volume Relation; Evidence from the Taiwan and U.S. Stock Exchanges,” Academia Economic Papers, 33 (4), 379-404.
Chung, Kee H. and Charlie Charoenwong (1991), “Investment Options, Assets in Place, and the Risk of Stocks,” Financial Management, 20 (3), 21–33.
Coad, Alex and Rekha Rao (2006), “Innovation and Market Value: A Quantile Regression Analysis,” Economics Bulletin, 15 (13), 1-10.
Comanor, William S. and Wilson, Thomas A. (1979), “The Effect of Advertising on Competition: A Survey,” Journal of Economic Literature, 17 (2), 453-476.
Curry, B. and K.D. George (1983), “Industrial Concentration: A Survey,” Journal of Industrial Economics, 31 (3), 203–255.
Damodaran, Aswath (2001), Coporate Finance: Theory and Practice. New York: John Wiley & Sons.
Erickson, Gary and Robert Jacobson (1992), “Gaining Competitive Advantage Through Discretionary Expenditures: The Returns to R&D and Advertising,” Management Science, 38 (9), 1264–79.
Fattouh, Bassam, Pasquale Scaramozzino and Laurence Harris (2005), “Capital Structure in South Korea: A Quantile Regression Approach,” Journal of Development Economics, 76 (1), 231-250.
Fersterer, Joserf and Winter Ebmer Rudolf (2003), “Are Austrian Returns to Education Falling over Time?” Labour Economics, 10 (1), 73-89.
Frieder, Laura and Avanidhar Subrahmanyam (2005), “Brand Perceptions and the Market for Common Stock,” Journal of Financial & Quantitative Analysis, 40 (1), 57–85.
Furno, Marilena (2004), “ARCH Tests and Quantile Regression,” Journal of Statistical Computation and Simulation, 74 (4), 277-292.

Goel, Rajeev K. and Rati Ram (2004), “Quantile-Regression Estimates of Cigarette Demand Elasticities for the United States,” Journal of Economics and Finance, 28 (4), 413-421.
Grabowski, Henry G. and Dennis C. Mueller (1978), “Industrial Research and Development, Intangible Capital Stocks, and Firm Profit Rates,” Rand Journal of Economics, 9 (2), 328–333.
Gruca, Thomas S. and Lopo L. Rego (2005), “Customer Satisfaction, Cash Flow, and Shareholder Value,” Journal of Marketing, 69 (3), 115-30.
Grullon, Gustavo, George Kanatas, and James P. Weston (2004), “Advertising, Breadth of Ownership and Liquidity,” The Review of Financial Studies, 17 (2), 439–61.
Herath, Hemantha B. and Chan S. Park (1999), “Economic Analysis of R&D Projects: an Option Approach,” Engineering Economist, 44 (1), 1–35.
Hertzel, Michael, Michael Lemmon, James S. Linck, and Lynn Rees (2002), “Long-Run Performance Following Private Placements of Equity,” Journal of Finance, 57 (6), 2595–2617.
Ho, Yew Kee, Zhenyu Xu, and Chee Meng Yap (2004), “R&D Investment and Systematic Risk,” Accounting and Finance, 44 (3), 393-418.
Jaffe, Adam B. (1986), “Technological Opportunity and Spillovers of R&D: Evidence from Firms’ Patents, Profits, and Market Value,” American Economic Review, 76 (5), 984-1001.
Jorion, Phillipe (1991), “The Pricing of Exchange Rate Risk in the Stock Market,” Journal of Financial and Quantitative Analysis, 26 (3), 363-376.
Joshi, Amit and Dominique M. Hanssens (2004), “Advertising Spending and Market Capitalization,” Working Paper No. 388, Marketing Studies Center, Anderson School of Management, University of California, Los Angeles.
Kaldor, Nicholas (1949–1950), “The Economics of Advertising,” Review of Economic Studies, 18 (1), 1–27.
Kan, Kamhon and Wei Der Tsai, (2004), “Obesity and Risk Knowledge,” Journal of Health Economics, 23 (5): 907-934.
Kaul, Anil and Dick R. Wittink (1995), “Empirical Generalizations About the Impact of Advertising on Price Sensitivity and Price,” Marketing Science, 14 (3), G151–60.
Kirmani, Amna and Valarie A. Zeithaml (1993), “Advertising, Perceived Quality, and Brand Image,” in Brand Equity and Advertising, Aaker, David A. and Alexander L. Biel., Eds. Hillsdale, NJ: Lawrence Erlbaum Associates, 143–82.
Koenker, Roger (2000), “Galton, Edgeworth, Frisch, and Prospects for Quantile Regression in Econometrics,” Journal of Econometrics, 95 (2), 347-374.
Koenker, Roger and Gilbert Basset Jr. (1978), “Regression Quantiles,” Econometrica, 46 (1), 33-50.
Koenker, Roger and Kevin F. Hallock (2001), “Regression Quantiles,” Journal of Economic Perspective, 15 (4), 143-56.
Kothari, S. P., Ted E. Laguerre, and Andrew J. Leone (2002), “Capitalization Versus Expensing: Evidence on the Uncertainty of Future Earnings from Capital Expenditures Versus R&D Outlays,” Review of Accounting Studies, 7 (4), 355–82.
Krasnikov, Alexander and Satish Jayachandran (2008), “The Relative Impact of Marketing, Research-and-Development, and Operations Capabilities on Firm Performance,” Journal of Marketing, 72 (4), 1-11.
Kroll, Mark, Peter Wright, and Richard A. Heiens (1999), “The Contribution of Product Quality to Competitive Advantage: Impacts on Systematic Variance and Unexplained Variance in Returns,” Strategic Management Journal, 20 (4), 375–84.
Landajo, Manuel, Javier De Andrés, and Pedro Lorca (2008), “Measuring Firm Performance by Using Linear and Non-Parametric Quantile Regressions,” Journal of the Royal Statistical Society: Series C (Applied Statistics), 57 (2), 227-250.
Lee, Jen Sin (2008), “The Determinants of IPO Underpricing: Application of Quantile Regression,” Review of Securities and Futures Markets, 20 (1), 47-99.
Leone, Robert P. (1995), “Generalizing What Is Known About Temporal Aggregation and Advertising Carryover,” Marketing Science, 14 (3), 141–50.
Lev, Baruch and Theodore Sougiannis (1996), “The Capitalization, Amortization, and Value-Relevance of R&D,” Journal of Accounting and Economics, 21 (1), 107–138.
Liao, Chung Jen and Chin Oh Chang (2006), “Asymmetric Price Effects of Residential Real Estate Brokerage Service Using Quantile Regressions,” City and Planning, 33 (1): 1-16.
Lind, Douglas A., William G. Marchal, and Samuel A. Wathen (2004), Statistical Techniques in Business and Economics. McGraw-Hill/Irwin.
Lintner, John (1965), “The Valuation of Risky Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets,” Review of Economics and Statistics, 47 (1), 13-37.
Madden, Thomas J., Frank Fehle, and Susan Fournier (2006), “Brands Matter: An Empirical Demonstration of the Creation of Shareholder Value Through Branding,” Journal of the Academy of Marketing Science, 34 (2), 224–35.

Markowitz, Harry (1959), Portfolio Selection: Efficient Diversification of Investments, Wiley, Yale University Press, 1970, Basil Blackwell, 1991.
McAlister, Leigh, Raji Srinivasan, and MinChung Kim (2007), “Advertising, Research and Development, and Systematic Risk of the Firm,” Journal of Marketing, 71 (1), 35-48.
McCue, Thomas E., Kling, John L. (1994), “Real Estate Returns and the Macroeconomy: Some Empirical Evidence from Real Estate Investment Trust Data, 1972-1991,” Journal of Real Estate Research, 9 (3), 5-32.
Mela, Carl F., Sunil Gupta, and Donald R. Lehmann (1997), “The Long-Term Impact of Promotion and Advertising on Consumer Brand Choice,” Journal of Marketing Research, 34 (May), 248–261.
Meligkotsidou, Loukia, Ioannis D. Vrontos, and Spyridon D. Vrontos (2009), “Quantile Regression Analysis of Hedge Fund Strategies,” Journal of Empirical Finance, 16 (2), 264-279
Mello, Marcelo and Roberto Perrelli (2003), “Growth Equations: A Quantile Regression Exploration,” Quarterly Review of Economics and Finance, 43: 643-667.
Melly, Blaise (2005), “Decomposition of Differences in Distribution Using Quantile Regression,” Labour Economics, 12 (4): 577-590.
Moskowitz, Tobias J. and Mark Grinblatt (1999), “Do Industries Explain Momentum?” Journal of Finance, 54 (4), 1249-1290.
Mossin, Jan (1966), “Equilibrium in a Capital Asset Market,” Econometrica, 34 (4), 768-783.
Nelson, Philip (1970), “Information and Consumer Behavior,” Journal of Political Economy, 78 (March/April), 311-329.
Patton, Andrew J. (2008), “Are “Market Neutral” Hedge Funds Really Market Neutral,” Review of Financial Studies, forthcoming.
Perlitz, M., T. Peske and R. Schrank (1999), “Real Options Valuation: the New Frontier in R&D Project Evaluation,” R&D Management, 29 (3), 255–269.
Rao, Vithala R., Manoj K. Agarwal, and Denise Dahlhoff (2004), “How Is Manifest Branding Strategy Related to the Intangible Value of a Corporation?” Journal of Marketing, 68 (4), 126–41.
Robinson, Joan (1933), “Economics of Imperfect Competition,” London: St. Martin''s Press.
Santa-Clara, Pedro and Rossen Valkanov (2003), “The Presidential Puzzle: Political Cycles and the Stock Market,” Journal of Finance, 58 (5), 1841-72.
Sethuraman, Raj and Gerard J. Tellis (1991), “An Analysis of the Tradeoff Between Advertising and Price Discounting,” Journal of Marketing Research, 28 (May), 160–74.
Sharpe, William .F. (1964), “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, 19 (3), 425-442.
Singh, Manohar, Sheri Faircloth, and Ali Nejadmalayeri (2005), “Capital Market Impact of Product Marketing Strategy: Evidence from the Relationship Between Advertising Expenses and Cost of Capital,” Journal of the Academy of Marketing Science, 33 (4), 432–44.
Sorescu, Alina B. and Jelena Spanjol (2008), “Innovation’s Effect on Firm Value and Risk: Insights from Consumer Packaged Goods,” Journal of Marketing, 72 (2), 114-132.
Srivastava, Rajendra K., Tasadduq A. Shervani, and Liam Fahey (1998), “Market-Based Assets and Shareholder Value: A Framework for Analysis,” Journal of Marketing, 62 (1), 2–18.
Titman, Sheridan and Roberto Wessels (1988), “The Determinants of Capital Structure Choice,” Journal of Finance, 43 (1), 1–19.
Veliyath, Rajaram. and Stephen P. Ferris (1997), “Agency Influences on Risk Reduction and Operating Performance: An Empirical Investigation Among Strategic Groups,” Journal of Business Research, 39 (3), 219–27.
Viscusi, W. Kip and Patricia Born (2005), “Damages Caps, Insurability, and the Performance of Medical Malpractice Insurance,” Journal of Risk and Insurance, 72 (1), 23-43.
Woolridge, J. Randall (1988), “Competitive Decline and Corporate Restructuring: Is a Myopic Stock Market to Blame?” Journal of Applied Corporate Finance, 1 (1), 26–36.
Xua, Ming and Chu Zhang (2004), “The Explanatory Power of R&D for the Cross-section of Stock Returns: Japan 1985–2000,” Pacific-Basin Finance Journal, 12 (3), 245-269.
Zietz, Joachim, Emily Zietz, and Stacy Sirmans, (2008), “Determinants of House Prices: A Quantile Regression Approach,” Journal of Real Estate Finance and Economics, 38 (1), 66-75.
第一頁 上一頁 下一頁 最後一頁 top