本研究企圖檢驗廣告及顧客滿意度如何影響超額報酬。本文以超額報酬為股東價值的代理變數。預期廣告及顧客滿意度可以顯著正向影響超額報酬，負向影響公司風險。並考慮在不同市場狀態下，廣告及顧客滿意度是否對股東價值有不對稱的影響。
　　本研究在股價橫斷面的分析上，相較四因子模型多考慮恐慌因子，並以馬可夫轉換模型來辨識牛市與熊市，以期穩建估計股東價值的變數。選擇一般動差法來估計廣告及顧客滿意度對股東價值影響程度，探究廣告及顧客滿意度能否正向提升股東價值。
　　結果顯示廣告在牛市及熊市之狀態下對超額報酬皆不顯著，而顧客滿意度在牛市及熊市之狀態下，皆能正向影響公司超額報酬。並進一步分析發現在熊市下，相較於增加廣告費用，維持顧客滿意度較能夠提升超額報酬。

This study tires to find out how a firm’s advertising and customer satisfaction influence firms’ abnormal return and we uses the abnormal return (i.e. Jensne’s α) as the proxy of firm’s shareholder value. We expect firms’ advertising and customer satisfaction will have a positive impact on abnormal return while having a negative impact on firms’ risk. In addition, we also consider under different market state whether advertising and customer satisfaction have an asymmetric effect.
Compare with Carhart (1997) four factor model, this paper also takes the factor of VIX into account, and we use Markov regime switching model to recognize bull market and bear market because it can help us get a more accurate estimation. We choose the Generalized method of moments (GMM) to estimate the impact of advertising and customer satisfaction on shareholder value and discuss that whether advertising and customer satisfaction are able to lift up shareholder value or not.
The outcome shows that advertising doesn’t have significantly positive impact on firms’ abnormal return under bull market and bear market. However, customer satisfaction has a significantly positive relationship with firms’ abnormal return under bull market and bear market. And we find that if firms maintain the level of customer satisfaction under bear market, it will be more efficiently to lift up firms’ abnormal return rather than spending more money on advertising.

摘 要 ................................................................................... iii
Abstract ............................................................................... iv
第一章 緒論 ................................................................................ 1
1-1 研究動機與簡介 ......................................................................... 1
1-2 研究架構 ............................................................................... 3
第二章 文獻回顧 ............................................................................ 4
2-1 超額報酬、系統性風險與特有風險 ......................................................... 4
2-2 超額報酬(Jensen’s alpha) .............................................................. 5
2.2.1 廣告支出對超額報酬的影響 ............................................................. 6
2.2.2 顧客滿意對超額報酬的影響 ............................................................. 6
2-3 特有風險 ............................................................................... 7
2.3.1 廣告支出對特有風險的關係 ............................................................. 8
2.3.2 顧客滿意度對特有風險的關係 ........................................................... 8
2-4 系統性風險 ............................................................................. 9
2.4.1 廣告支出對系統性風險的影響 ........................................................... 9
2.4.2 顧客滿意度對系統性風險的影響 ........................................................ 10
2-5 在牛市與熊市狀況下，廣告及顧客滿意度對股東價值的效果 ...................................10
第三章 假設與研究方法 ..................................................................... 14
3-1 假設 .................................................................................. 14
3.1.1 廣告費用的效果 ...................................................................... 14
3.1.2 顧客滿意度的效果 .................................................................... 15
3.1.3 在不同市場狀態下，廣告對股東價值的影響有所差別 ...................................... 16
3.1.3 在不同市場狀態下，顧客滿意度對股東價值的影響有所差別 ................................ 17
3-2 研究方法 .............................................................................. 18
3.2.1 馬可夫狀態轉換模型之應用 ............................................................ 18
3.2.2 馬可夫狀態轉換模型之數理推導 ........................................................ 19
3.2.3 股票報酬定價模型 .................................................................... 21
3.2.4 迴歸模型 ............................................................................ 22
第四章 資料處理及結果 ..................................................................... 27
4-1 資料來源及處理 ........................................................................ 27
4.1.1股票報酬定價模型 ..................................................................... 29
4.1.2股東價值模型之自變數 ................................................................. 30
4-2 一般情況下，廣告及顧客滿意度對股東價值的影響 ...........................................35
4-3 在牛市下，廣告及顧客滿意度對股東價值的影響 ............................................ 39
4-4 在熊市下，廣告及顧客滿意度對股東價值的影響 ............................................ 39
4-5 不同市場狀況下，廣告及顧客滿意度是否有不對稱之效果 .................................... 40
4-6 穩健性測試 ............................................................................ 42
第五章 結論 ............................................................................... 47
5-1 結論 .................................................................................. 47
5-2 研究限制 .............................................................................. 49
5-3 未來方向 .............................................................................. 50
參考文獻 .................................................................................. 51

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