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姓名 連研娜 (Yen-na Lien) 電子郵件信箱 E-mail 資料不公開
畢業系所 財務管理學系研究所(Finance)
畢業學位 碩士(Master) 畢業時期 101學年第1學期
論文名稱(中) 在不同景氣循環下總體經濟對行銷變數投資組合報酬率的不對稱性
論文名稱(英) How Does The Macroeconomy Asymmetrically Affect The Return of Marketing Portfolios Under Different Business Cycles?
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    摘要(中) 景氣循環變化時,公司的行銷支出對報酬率之影響效果也會隨之改變。過去研究雖然著重於景氣蕭條時,廣告與研發支出對公司之影響,然而卻忽略了廣告與研發支出有交互作用。在經濟領域的研究發現:總體經濟因子在景氣變化時會影響公司績效。故本研究結合經濟與行銷的相關研究,探討在景氣蕭條並控制廣告與研發交互作用之下,高低廣告密度、高低研發密度公司之報酬率受那些總經因素的影響?
    本研究以1990年至2010年為研究期間,蒐集美國NYSE、AMEX及NASDQ上市公司的財報資料與股價資料。透過馬可夫轉換模型辨識景氣之多空變化,同時利用投資組合分析法將樣本公司以研發密度、廣告密度排序分類為四個投資組合,並透過總經迴歸模型探討那些總經因素對投資組合的報酬率影響較大。實證結果發現在蕭條時,控制在高廣告下,違約利差擴大或貨幣供給成長率皆對高研發公司報酬率之影響大於低研發公司。蕭條時,控制在高研發之下,違約利差擴大或貨幣供給成長率皆對高廣告公司報酬率之影響大於低廣告公司。因此本研究推論蕭條時,違約利差擴大,不論控制在高廣告或高研發之下,投資人較不傾向投資高廣告且高研發公司的股票(風險性資產)。然而當蕭條時,當政府實施貨幣擴張政策積極投資人較傾向投資高廣告且高研發公司的股票(風險性資產)。
    本文結合景氣蕭條並控制研發與廣告之交互作用對公司報酬之影響,並探討總經因子對公司報酬之影響。試圖提供經理人在面對總經環境變動時能有所應變,動態調整公司開支中研發及廣告支出之比例,進而提高股價增加股東財富。
    摘要(英) During the business cycle, how the firms' marketing expenses affect the stock returns vary with economy condition. Although prior studies have focused on how change in advertising and research and development (R&D) affect firms during recessions, those studies ignored the interaction between advertising and R&D. Besides, prior studies in the economics field find that the macroeconomics factors will affect firm performance. Therefore, this paper investigates which macroeconomics factor will affect firms spending on advertising and R&D to increase stock return of firms during recessions based on controlling the interaction between advertising and R&D.
    We match the sample of NYSE-, AMEX-, and NASDAQ-listed firms that are specified as ordinary common shares with monthly returns from the Center for Research in Securities Prices (CRSP) and with advertising and R&D from the yearly merged COMPUSTAT data for 1990 to 2010. In addition, we use the Markov switching model to identify economy condition. Meanwhile we use the portfolio analysis to classify the firms into four portfolios and though the macroeconomic model to discuss which factors impact the excess return. This study finds that controlling the condition of R&D-intensive, the default spread and growth in money supply will both affect high advertising firms, more than low advertising firm in recessions. Moreover, controlling the condition of advertising-intensive, the default spread and growth in money supply will both affect high R&D firms more than low R&D firms in recessions. These consequences may result from that during the recession, the default spread will increase and the same time the investors will not prefer high advertising and R&D firms (risky assets). On the other hand, when government implements expansionary monetary policy, investors will prefer high advertising and R&D firms.
    In summary, this study discuss how the macroeconomic factors affect the excess return of portfolio during recessions based on controlling the interaction between advertising and R&D. Firms could use these results to improve the performances and increase the stock returns by adjusting their spending on advertising and R&D during recessions.
    關鍵字(中)
  • 廣告
  • 景氣蕭條
  • 交互作用
  • 馬可夫轉換模型
  • 投資組合
  • 研發
  • 關鍵字(英)
  • R&D
  • Interaction
  • Portfolio
  • Markov switching
  • Advertising
  • Recessions
  • 論文目次 論文審定書 i
    摘要 ii
    Abstract iii
    圖次 vi
    表次 vii
    第一章 緒論 1
    第二章 文獻探討 5
    第一節 廣告與研發對公司績效之影響 5
    第二節 景氣循環對公司績效之影響 12
    第三節 使用馬可夫狀態轉換模型來區分景氣 15
    第四節 廣告與研發之交互作用 16
    第五節 不同景氣下貨幣政策改變對股價之影響 17
    第六節 不同景氣下違約利差(default spread)改變對股市之影響 19
    第七節 不同景氣下違約利差與貨幣政策之交互作用(Interaction) 20
    第三章 假說與模型 22
    第一節 假說建立 22
    第二節 景氣狀況的辨識:馬可夫轉換狀態模型 24
    第三節 研究模型-投資組合分析法 26
    第四節 敏感性分析─總經迴歸模型 27
    第四章 實證結果 30
    第一節 樣本資料 30
    第二節 敘述性統計 32
    第三節 雙排序投資組合之市場占有率 34
    第四節 雙排序投資組合─以廣告為輔以研發為主 39
    第五節 雙排序投資組合─以研發為輔以廣告為主 41
    第六節 穩健性測試-單排序投資組合 43
    第五章 結論 45
    第一節 研究結論 45
    第二節 研究限制與未來研究方向 46
    參考文獻 47
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    口試委員
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