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研究生:林玉燕
研究生(外文):Yu-yan Lin
論文名稱:廣告與研究發展費用對風險的影響:高風險公司與低風險公司之差異
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:陳妙玲陳妙玲引用關係
指導教授(外文):Miao-Ling Chen
學位類別:碩士
校院名稱:國立中山大學
系所名稱:財務管理學系研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:英文
論文頁數:48
中文關鍵詞:廣告研究發展系統風險非系統風險分量迴歸
外文關鍵詞:advertisingresearch and developmentsystematic riskunsystematic riskquantile regression
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公司經理人的最終目標是使股東利益極大化,因此,企業內各部門主管甚至是高階經理人,都必須透過此一原則來檢視其策略能否使公司股東受益。廣告和研究發展是近年來企業所重視的投入要素,但這些投入要素卻也經常被質疑是否真能為公司帶來實質利益,意即使股東受益。據此,本文以在NYSE上市的公司為研究對象,探討廣告和研究發展對公司股價風險之影響。因本研究樣本資料在條件分配中是具有異質性的,因此運用分量迴歸法來解決樣本異質性的問題。

實證結果發現,廣告能顯著降低公司股價之系統風險,尤其是低度風險、中度風險以及高度風險公司;此外,廣告也能顯著降低公司股價之非系統風險,尤其是高度風險公司。至於研究發展則會增加公司股價之系統風險與非系統風險,尤其對中度風險及高度風險公司。實證結果也發現,高度風險公司的廣告和研究發展費用相較於低度風險公司有較強的效果。

本文嘗試以分量迴歸法來分析公司股價之風險與廣告及研究發展費用間關係,分量迴歸法使我們得以完整呈現廣告與研究發展費用對不同公司風險的影響,而不必依賴相關係數或傳統迴歸方法所提供的平均指標。對於公司經理人而言,本研究提供控管公司風險的新方向,讓不同部門間的經理人可以用共同的財務語言溝通,更進而帶給高階主管分配公司資源與風險控管之新思維。
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.
CONTENTS
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
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