本研究旨在探討廣告與顧客滿意度在不同的市場狀態下如何影響企業財務主管與高階經理人所關心之焦點－企業系統風險。本研究除延續過去研究所關注之行銷對於績效，亦即對於企業系統風險之影響外，更進一步將市場波動狀態納入探討。我們發展一套二階段的估計模型，第一階段使用Fama-French-Carhart-Ang的五因子模型，以馬可夫轉換模型(Markov Switching Model)估計在不同市場狀態下的系統風險(beta)；第二階段則以固定時間效果一般動差估計法(GMM)以及分量迴歸(Quantile Regression)分別估計實證模型。以長期的觀點而言，實證結果顯著支持本研究之假說：廣告和顧客滿意度可顯著的降低企業之系統風險；若以短期的觀點，實證結果顯示廣告在市場波動較大時可以顯著的降低系統風險，但顧客滿意度則無顯著效果；不過在市場波動較穩定時，顧客滿意度反而能夠顯著的降低系統風險，廣告則無顯著效果。

In this study, we examine how advertising and customer satisfaction affect a firm’s systematic risk (β-risk) under both the highly volatile and tranquil market. This study extends prior studies that primarily considered the effects of marketing initiatives on performance metrics, focusing on systematic risk under the highly volatile and tranquil market. We examine how advertising and customer satisfaction affect a firm’s β-risk under the two distinct markets. We develop a two-stage model procedure. First, each individual firm’s β-risk in the both markets is estimated by Fama-French-Carhart-Ang 5-factor model which includes implied volatility index (VIX) as an aggregate volatility factor, along with the estimators of maximum likelihood (MLE) under the Markov switching model. Second, to examine the impact of advertising and customer satisfaction on β-risk, we estimate empirical models for the dataset of the two distinct markets by the generalized method of moments (GMM) and the quantile regression. The results significantly support our hypotheses that higher advertising and higher customer satisfaction lower a firm’s β-risk under the overall, highly volatile and tranquil markets from the standpoint of long run. Furthermore, we find an additional discovering that from the view of short term, adverting is negatively significant associated with β-risk under the highly volatile market, while customer satisfaction is not. Customer satisfaction, however, is negatively significant associated with β-risk under the tranquil market, while advertising is not.

論文審定書 i
摘要 ii
Abstract iii
1. Introduction 1
2. Literature Review 8
2.1 An Overview of Markov Switching Model 8
2.2 Effect of Advertising 9
2.3 Effect of Customer Satisfaction 11
3. Methodology 13
3.1 Markov Switching Model 14
3.2 Systematic Risk Model 20
3.3 Data 23
4. Empirical Result 25
4.1 The Overall Market 26
4.2 The Highly Volatile Market 27
4.3 The Tranquil Market 27
4.4 Robust Analysis 28
4.4.1 An Analysis of Upside And Downside Market 28
4.4.2 Reverse Causality 30
4.4.3 Potential Endogeneity of ACSI and advertising 31
4.4.4 A Analysis from The Quantile Regression 31
5. Conclusion 34
References 47

Aksoy, L., Cooil, B., Groening, C., Keiningham, T. L. & Yalçın A. The long-term stock market valuation of customer satisfaction. Journal of Marketing, 72 (1): 105–122.
Ang, A. and Bekaert, G. 2002. Regime switches in interest rates. Journal of Business and Economic Statistics, 20 (1): 163-182.
Anderson, E. W., Fornell, C., & Lehmann, D. R. 1994. Customer satisfaction, market share, and profitability: Findings from Sweden. Journal of Marketing, 58 (3): 53-66.
Anderson, E. W., Fornell, C., & Mazvancheryl, S. K. 2004. Customer satisfaction and shareholder value. Journal of Marketing, 68(4): 172-185.
Anderson, E. W., Fornell, C., & Rust, R. T. 1997. Customer satisfaction, productivity, and profitability: differences between goods and services. Marketing Science, 16 (2): 129-145.
Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. 2006. The cross-section of volatility and expected returns. Journal of Finance, 61(1): 259-299.
Alizadeh, A. & Nomikos N. 2004. A Markov regime switching approach for hedging stock indices. The Journal of Futures Markets, 24 (7): 649-674.
Boulding, W. & Staelin, R. 1995. Identifying generalizable effects of strategic actions on prior performance: The case of returns to research and development spending. Marketing Science, 14 (3): G222–36.
Carhart, Mark M. 1997. On Persistence in mutual fund performance. Journal of Finance, 52(1): 57-82.
Chen, M. L., 2004. The effects of advertising on retail price competition under vertical restraint-A Japanese case. Journal of Business Research, 57(1): 277– 283.
Chen, M. L., Lin, C. B., Tai, L. A. 2010. Effects of advertising, customer satisfaction and research and development on a firm’s systematic and unsystematic risks. NTU Management Review, forcming.
Dean, W. G. & Faff, R. F. 2008. Evidence of feedback trading with Markov switching regimes. Review of Quantitative Finance and Accounting, 30 (1):133-151.
Fama, E. F., & French, K. R. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1): 3-56.
Ferson, W. E., and Harvey, C. R. 1993. The risk and predictability of international equity returns. Review of Financial Studies, 6(1): 527-566.
Fornell, C., Mithas, S., Morgeson, F. V., & Krishnan, M. S. 2006. Customer satisfaction and stock prices: high returns, low risk. Journal of Marketing, 70 (1): 3-14.
Frieder, L., & Subrahmanyam, A. 2005. Brand perceptions and the market for common stock. Journal of Financial and Quantitative Analysis, 40 (1): 57-85.
Gruca, T. S., & Rego, L. L. 2005. Customer satisfaction, cash flow, and shareholder value. Journal of Marketing, 69 (3): 115-130.
Grullon, G., Kanatas, G., & Weston, J. P. 2004. Advertising, breadth of ownership and liquidity. The Review of Financial Studies, 17 (2): 439-461.
Hamilton, J. D. & Susmel, R. 1994. Autoregressive conditional heteroscedasticity and changes in regime. Journal of Econometrics, 64 (1): 307–33.
Hansen, L. P. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50 (1): 1029–1054.
Hwang, S., Satghell S. E. & Pereira P. L. V. 2007. How persistent is stock return volatility? An answer with Markov regime switching stochastic volatility models. Journal of Business Finance & Accounting, 34(5) & (6), 1002–1024.
Jacobson, R.& Mizik N. 2009. The financial markets and customer satisfaction: reexamining possible financial market mispricing of customer satisfaction. Marketing Science, 28 (5): 810–819.
Judge, George G., R. Carter Hill, William E. Griffiths, Helmut Lütkepohl, & Tsoung-Chao Lee 1988, Introduction to the Theory and Practice of Econometrics. New York: John Wiley & Sons.
Lettau, M. & Ludvigson, S. 2001. Consumption, aggregate wealth, and expected stock returns. Journal of Finance 56 (1): 815–850.
Lind, D. A., Marchal, W. G.; Wathen, S. A. 2004. Statistical Techniques in Business and Economics, McGraw-Hill/Irwin.
Lintner, J. 1965. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. The Review of Economics and Statistics, 47 (1): 13-37.
Li, M. Y. L. 2007. Volatility states and international diversification of international stock markets. Applied Economics, 39 (1): 1867–1876.
Lundbald, C. 2007. The risk return tradeoff in the long run: 1836–2003. Journal of Financial Economics, 85 (1): 123–150.
Luo, X. & Bhattacharya C. B. 2006. Corporate social responsibility, customer satisfaction, and market value. Journal of Marketing, 70 (1):1-18.
Luo, X. Homburg, C. & Wieseke J. 2010. Customer satisfaction, analyst stock recommendations, and firm value. Journal of Marketing Research, 47 (1): 1041 –1058.
Madden, T. J., Fehle, F., & Fournier, S. 2006. Brands matter: an empirical demonstration of the creation of shareholder value through branding. Journal of the Academy of Marketing Science, 34 (2): 224-235.
Markowitz, H. M. 1959. Portfolio Selection: Efficient Diversification of Investments. New York, NY: John Wiley & Sons.
McAlister, L., Srinivasan, R., & Kim M. 2007. Advertising, research and development, and systematic risk of the Firm. Journal of Marketing, 71 (1): 35-48.
Morgan, N. A., L. L. Rego. 2006. The value of different customer satisfaction and loyalty metrics in predicting business performance. Marketing Science, 25 (5): 426–439.
Mossin, J. 1966. Equilibrium in a capital asset market. Econometrica, 34(4): 768-783.
Okimoto, T. 2008. New evidence of asymmetric dependence structures in international equity markets. Journal of Financial and Quantitative Analysis, 43 (3): 787-816.
Rao, V. R., Agarwal, M. K., & Dahlhoff, D. 2004. How is manifest branding strategy related to the intangible value of a corporation? Journal of Marketing, 68 (4): 126-141.
Singh, M., Faircloth, S., & Nejadmalayeri, A. 2005. Capital market impact of product marketing strategy: evidence from the relationship between advertising expenses and cost of capital. Journal of the Academy of Marketing Science, 33 (4): 432-444.
Sharpe, W. F. 1964. Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, 19 (3): 425-442.
Srivastava, R. K., Shervani, T. A., & Fahey, L. 1998. Market-based assets and shareholder value: a framework for analysis. Journal of Marketing, 62 (1): 2–18.
Tuli, K. R. & Bharadwaj S.G. 2009. Customer satisfaction and stock returns risk. Journal of Marketing, 73 (1): 184-197.
Wesche, K. A. 2006. Estimating Central Banks’ preferences from a time-varying empirical reaction function. European Economic Review, 50 (1): 1951–1974.
Zhang, L. 2005. The value premium, Journal of Finance 60 (1): 67-103.