none

Do investments in advertising and the industry concentration lead to a higher
stock return or shareholder value? This paper investigates if the relationship between
advertising and the stock return or shareholder value is moderated by the industry
concentration. We further propose the hierarchical linear model which could strength
the effect on the stock return and shareholder value by establishing the link between
firm-level characteristic (advertising intensitya and market share) and industry-level
characteristic (industry concentration); thus, we obtain the interaction between
advertising intensity and the industry concentration from this model.
The results suggest that the relationship between advertising and the stock return
or shareholder value is contingent on the moderating effects of the industry
concentration. This paper also reinforces the importance of the conceptual framework
and empirical findings that advertising intensity has a positive and significant effect
on the stock return. Most importantly, this paper indicates as the degree of
concentration in an industry increases, the impact of advertising on the stock return is
less positive.

I. Introduction............................................................................1
II. Literature Review...................................................................3
1. Effects of Advertising........................................................................3
2. Effects of the Market Share...............................................................5
3. The moderator Role of Industry Concentration.................................6
4. Firm-Level V.S Industry-Level..........................................................7
III. Research Model....................................................................10
1. Hypothesis........................................................................................10
2. Research Method..............................................................................13
2.1 Hierarchical Linear Model..........................................................................13
2.2 The Moderating Studies (ANOVA)............................................................17
2.3 Portfolio Studies.........................................................................................18
3. Variable Definitions.........................................................................20
4. Data and Sample Selection...............................................................25
IV. Result Analysis.....................................................................27
1. Descriptive Statistics .......................................................................27
2. Empirical Results.............................................................................30
2.1 Hierarchical Linear Model..........................................................................30
2.2 The Moderating Effect................................................................................36
2.3 The Results of Portfolio Studies.................................................................41
V. Conclusion............................................................................47
REFERENCES...........................................................................50

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