最近行銷的文獻指出投資於高顧客滿意度的公司可持續獲得超額報酬，另外，財務與經濟文獻顯示，貨幣政策與市場狀態對股票市場報酬有顯著的影響能力，然而，過去鮮少有文獻關注於顧客滿意度投資組合在不同貨幣政策與市場狀態下的報酬績效。本文研究依據顧客滿意度所建構的投資組合，在不同貨幣政策與市場狀態下的績效表現進行實證，結果顯示：高顧客滿意度之公司所建構的投資組合
確實能夠獲得超額報酬。此外，本文亦發現高顧客滿意度公司的投資組合，能夠在不同貨幣政策與市場狀態下創造超額報酬，尤其是在總體狀況較差的情形下，顧客滿意度較高之公司的投資組合更能擊敗大盤。故本文研究結果顯示，顧客滿意度應能成為建構投資組合的良好指標。

Recent studies show that investing in higher American Customer Satisfaction Index (ACSI) score firms perform significantly positive abnormal returns over time. Moreover, prior researches indicate that government intervenes such as monetary policy and market condition influence stock returns significantly. However, no previous studies examine the performance of firms with high customer satisfaction during different monetary stance and different market states. This paper investigates relation between stock market valuation of customer satisfaction and changes in monetary policy and further examines that relation under different market states. This paper finds that forming portfolio on the basis of satisfaction data has the potential to generate valuable excess returns. Furthermore, the evidence of this study shows higher ACSI portfolio performs significantly positive return under all monetary stance and market state over time. Especially, in bad macroeconomic conditions, higher ACSI portfolio consistently generates abnormal return in restrictive monetary stances and bear markets, showing that higher ACSI portfolios can persistent beat the market under different monetary policy and market conditions. The evidence of this study concludes that customer-based metrics are valuable information when forming portfolios.

Contents
論文審定書 i
摘要 ii
Abstract iii
Figure v
Tables vi
1. Introduction 1
2. Literature Review and Hypotheses 6
2.1 Customer Satisfaction Mechanism and Customer Satisfaction Based Portfolio Performance 7
2.2 Monetary Policy and Customer-Satisfaction-Based-Portfolio Monetary Policy 9
2.3 Market States and the Customer Satisfaction Based Portfolio Market States 11
3. Data 15
3.1 ACSI Data and Customer Satisfaction Based Portfolio Formation 16
3.2 Measure of Monetary Policy 18
3.3 Estimation of Market States 20
4. Test Methods 22
4.1 Risk-Adjusted Abnormal Portfolio Returns 22
4.2 Performance of ACSI Portfolios under Different Monetary Policy 23
4.3 Performance of ACSI Portfolios under Different Market States 24
5. Empirical Results 26
5.1 Customer Satisfaction Portfolios and Abnormal Returns in Full Sample Period 26
5.2 The Performance of ACSI Portfolios under Different Monetary Policy 27
5.3 The Portfolio Performance under Different Market States 31
5.4 Robustness Tests 34
6. Conclusions and Implications 42

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