博碩士論文 etd-0625112-032908 詳細資訊

[回到前頁查詢結果 | 重新搜尋]

姓名 方宏彰 (Hong-Jhuang Fang) 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 100學年第2學期
論文名稱(中) 廣告及顧客滿意度對股東價值的影響－不同市場波動狀況    
論文名稱(英) The Impacts of Advertising and Customer Satisfaction on Shareholder Value under Different Volatility Market States
檔案
  • etd-0625112-032908.pdf
    • 本電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
    請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。     		論文使用權限

    電子論文：使用者自訂權限：校內校外均不公開

    論文語文/頁數 中文/64
    統計 本論文已被瀏覽 5589 次，被下載 0 次
    摘要(中) 　　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。
    摘要(英)    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.
    關鍵字(中)
  • 公司特有風險
  • 超額報酬
  • 顧客滿意度
  • 廣告
  • 馬可夫狀態轉換模型
    		• 關鍵字(英)
  • Advertising
  • Customer Satisfaction
  • Idiosyncratic Risk
  • Markov Regime Switching Model
  • Abnormal Return
    • 論文目次 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
    參考文獻 1. Aaker D.A., Jacobson R., 1994, “The Financial Information-Content of Perceived Quality,” Journal of Marketing Research, vol. 31,No. 2, 191-201.
    2. Ackermann C., McEnally R., Ravenscraft D., 1999, “The performance of hedge funds: Risk, return, and incentives,” Journal of Finance, vol. 54,No. 3, 833-874.
    3. Ailawadi K.L., Lehmann D.R., Neslin S.A., 2003, “Revenue premium as an outcome measure of brand equity,” Journal of Marketing, vol. 67,No. 4, 1-17.
    4. Aksoy L., Cooil B., Groening C., Keiningham T.L., Yalcin A., 2008, “The long-term stock market valuation of customer satisfaction,” Journal of Marketing, vol. 72,No. 4, 105-122.
    5. Anderson E.W., Fornell C., Mazvancheryl S.K., 2004, “Customer satisfaction and shareholder value,” Journal of Marketing, vol. 68,No. 4, 172-185.
    6. Anderson E.W., Fornell C., Rust R.T., 1997, “Customer satisfaction, productivity, and profitability: Differences between goods and services,” Marketing Science, vol. 16,No. 2, 129-145.
    7. Anderson E.W., Sullivan M.W., 1993, “The Antecedents and Consequences of Customer Satisfaction for Firms,” Marketing Science, vol. 12,No. 2, 125-143.
    8. Ang A., Hodrick R.J., Xing Y.H., Zhang X.Y., 2006, “The cross-section of volatility and expected returns,” Journal of Finance, vol. 61,No. 1, 259-299.
    9. Banz R.W., 1981, “The Relationship between Return and Market Value of Common-Stocks,” Journal of Financial Economics, vol. 9,No. 1, 3-18.
    10. Beaver W., Kettler P., Scholes M., 1970, “Association between Market Determined and Accounting Determined Risk Measures,” Accounting Review, vol. 45,No. 4, 654-682.
    11. Bharadwaj S.G., Tuli K.R., Bonfrer A., 2011, “The Impact of Brand Quality on Shareholder Wealth,” Journal of Marketing, vol. 75,No. 5, 88-104.
    12. Bhardwaj R.K., Brooks L.D., 1993, “Dual Betas from Bull and Bear Markets - Reversal of the Size Effect,” Journal of Financial Research, vol. 16,No. 4, 269-283.
    13. Black F., Scholes M., 1972, “Valuation of Option Contracts and a Test of Market Efficiency,” Journal of Finance, vol. 27,No. 2, 399-417.
    14. Blattberg R.C., Briesch R., Fox E.J., 1995, “How Promotions Work,” Marketing Science, vol. 14,No. 3, G122-G132.
    15. Bolton R.N., 1998, “A dynamic model of the duration of the customer's relationship with a continuous service provider: The role of satisfaction,” Marketing Science, vol. 17,No. 1, 45-65.
    16. Capocci D., Hübner G., 2004, “Analysis of hedge fund performance,” Journal of Empirical Finance, vol. 11,No. 1, 55-89.
    17. Chen M.L., 2004, “The effects of advertising on retail price competition under vertical restraint - A Japanese case,” Journal of Business Research, vol. 57,No. 3, 277-283.
    18. Chen M.L., Lin C.B., Tai L.A., 2011, “Effects of advertising, customer satisfaction and research and development on a firm’s systematic and unsystematic risks,” NTU Management Review, vol. 21,No. 2, 55-80.
    19. Chen S.S., 2007, “Does monetary policy have asymmetric effects on stock returns?,” Journal of Money Credit and Banking, vol. 39,No. 2-3, 667-688.
    20. Chen S.S., 2009, “Predicting the bear stock market: Macroeconomic variables as leading indicators,” Journal of Banking and Finance, vol. 33,No. 2, 211-223.
    21. Cumby R.E., Glen J.D., 1990, “Evaluating the Performance of International Mutual Funds,” Journal of Finance, vol. 45,No. 2, 497-521.
    22. David A A., 1991, “FORUM; Guarding the Power of a Brand Name,” New York Times.
    23. Deleersnyder B., Dekimpe M.G., Steenkamp J.B.E.M., Leeflang P.S.H., 2009, “The Role of National Culture in Advertising's Sensitivity to Business Cycles: An Investigation Across Continents,” Journal of Marketing Research, vol. 46,No. 5, 623-636.
    24. Dube J.P., Hitsch G.J., Rossi P.E., Vitorino M.A., 2008, “Category pricing with state-dependent utility,” Marketing Science, vol. 27,No. 3, 417-429.
    25. Erickson G., Jacobson R., 1992, “Gaining Comparative Advantage through Discretionary Expenditures - the Returns to Research-and-Development and Advertising,” Management Science, vol. 38,No. 9, 1264-1279.
    26. Fama E.F., French K.R., 1992, “The Cross-Section of Expected Stock Returns,” Journal of Finance, vol. 47,No. 2, 427-465.
    27. Fornell C., 1992, “A National Customer Satisfaction Barometer - the Swedish Experience,” Journal of Marketing, vol. 56,No. 1, 6-21.
    28. Fornell C., Mithas S., Morgeson F., 2009, “The statistical significance of portfolio returns,” International Journal of Research in Marketing, vol. 26,No. 2, 162-163.
    29. Fornell C., Mithas S., Morgeson F.V., Krishnan M.S., 2006, “Customer satisfaction and stock prices: High returns, low risk,” Journal of Marketing, vol. 70,No. 1, 3-14.
    30. Frieder L., Subrahmanyam A., 2005, “Brand perceptions and the market for common stock,” Journal of Financial and Quantitative Analysis, vol. 40,No. 1, 57-85.
    31. Fu F.J., 2009, “Idiosyncratic risk and the cross-section of expected stock returns,” Journal of Financial Economics, vol. 91,No. 1, 24-37.
    32. Godfeld S.M., Quandt R.E., 1973, “A Markov Model for Switching Regressions,” Journal of Econometrics, vol. 1,No. 1, 3-16.
    33. Graham R.C., Frankenberger K.D., 2011, “The Earnings Effects of Marketing Communication Expenditures during Recessions,” Journal of Advertising, vol. 40,No. 2, 5-24.
    34. Grewal R., Chandrashekaran M., Citrin A.V., 2010, “Customer Satisfaction Heterogeneity and Shareholder Value,” Journal of Marketing Research, vol. 47,No. 4, 612-626.
    35. Grinblatt M., Titman S., 1992, “The Persistence of Mutual Fund Performance,” Journal of Finance, vol. 47,No. 5, 1977-1984.
    36. Grullon G., Kanatas G., Weston J.P., 2004, “Advertising, breadth of ownership, and liquidity,” Review of Financial Studies, vol. 17,No. 2, 439-461.
    37. Hallowell R., 1996, “The relationships of customer satisfaction, customer loyalty, and profitability: An empirical study,” International Journal of Service Industry Management, vol. 7,No. 4, 27-and.
    38. Hamilton J.D., 1989, “A New Approach to the Economic-Analysis of Nonstationary Time-Series and the Business-Cycle,” Econometrica, vol. 57,No. 2, 357-384.
    39. Hamilton J.D., Susmel R., 1994, “Autoregressive Conditional Heteroskedasticity and Changes in Regime,” Journal of Econometrics, vol. 64,No. 1-2, 307-333.
    40. Jensen M.C., 1968, “Problems in Selection of Security Portfolios - Performance of Mutual Funds in Period 1945-1964 - .1. Introduction,” Journal of Finance, vol. 23,No. 2, 389-416.
    41. Joshi A., Hanssens D.M., 2010, “The Direct and Indirect Effects of Advertising Spending on Firm Value,” Journal of Marketing, vol. 74,No. 1, 20-33.
    42. Kaufman P., Jayachandran S., Rose R.L., 2006, “The role of relational embeddedness in retail buyers' selection of new products,” Journal of Marketing Research, vol. 43,No. 4, 580-587.
    43. Kaul A., Wittink D.R., 1995, “Empirical Generalizations About the Impact of Advertising on Price Sensitivity and Price,” Marketing Science, vol. 14,No. 3, G151-G160.
    44. Krishnamurthi L., Raj S.P., 1991, “An Empirical-Analysis of the Relationship between Brand Loyalty and Consumer Price Elasticity,” Marketing Science, vol. 10,No. 2, 172-183.
    45. Kurov A., 2010, “Investor sentiment and the stock market's reaction to monetary policy,” Journal of Banking and Finance, vol. 34,No. 1, 139-149.
    46. Lamey L., Deleersnyder B., Dekimpe M.G., Steenkamp J.B.E.M., 2007, “How business cycles contribute to private-label success: Evidence from the United States and Europe,” Journal of Marketing, vol. 71,No. 1, 1-15.
    47. Leone R.P., 1995, “Generalizing What Is Known About Temporal Aggregation and Advertising Carryover,” Marketing Science, vol. 14,No. 3, G141-G150.
    48. Lintner J., 1965, “Security Prices, Risk, and Maximal Gains from Diversification,” Journal of Finance, vol. 20,No. 4, 587-616.
    49. 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, vol. 34,No. 2, 224-235.
    50. Maheu J.M., McCurdy T.H., 2000, “Identifying bull and bear markets in stock returns,” Journal of Business and Economic Statistics, vol. 18,No. 1, 100-112.
    51. Markowitz H.M., 1952, “Portfolio Selection.,” Journal of Finance, vol. 7,No. 1, 77-91.
    52. McAlister L., Srinivasan R., Kim M., 2007, “Advertising, research and development, and systematic risk of the firm,” Journal of Marketing, vol. 71,No. 1, 35-48.
    53. Mossin J., 1966, “Equilibrium in a Sapital Asset Market,” Econometrica, vol. 34,No. 4, 768-and.
    54. Osinga E.C., Leeflang P.S.H., Srinivasan S., Wieringa J.E., 2011, “Why Do Firms Invest in Consumer Advertising with Limited Sales Response? A Shareholder Perspective,” Journal of Marketing, vol. 75,No. 1, 109-124.
    55. Pagan A.R., Sossounov K.A., 2003, “A simple framework for analysing bull and bear markets,” Journal of Applied Econometrics, vol. 18,No. 1, 23-46.
    56. Pastor L., Stambaugh R.F., 2003, “Liquidity risk and expected stock returns,” Journal of Political Economy, vol. 111,No. 3, 642-685.
    57. Pettengill G.N., Sundaram S., Mathur I., 1995, “The Conditional Relation between Beta and Returns,” Journal of Financial and Quantitative Analysis, vol. 30,No. 1, 101-116.
    58. 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, vol. 68,No. 4, 126-141.
    59. Rego L.L., Billett M.T., Morgan N.A., 2009, “Consumer-Based Brand Equity and Firm Risk,” Journal of Marketing, vol. 73,No. 6, 47-60.
    60. Reichheld F.F., Sasser W.E., 1990, “Zero Defections - Quality Comes to Services,” Harvard Business Review, vol. 68,No. 5, 105-111.
    61. Ross S.A., 1976, “Arbitrage Theory of Capital Asset Pricing,” Journal of Economic Theory, vol. 13,No. 3, 341-360.
    62. Rust R.T., Lemon K.N., Zeithaml V.A., 2004, “Return on marketing: Using customer equity to focus marketing strategy,” Journal of Marketing, vol. 68,No. 1, 109-127.
    63. Rust R.T., Zahorik A.J., Keiningham T.L., 1995, “Return on Quality (Roq) - Making Service Quality Financially Accountable,” Journal of Marketing, vol. 59,No. 2, 58-70.
    64. Sethuraman R., Tellis G.J., 1991, “An Analysis of the Tradeoff between Advertising and Price Discounting,” Journal of Marketing Research, vol. 28,No. 2, 160-174.
    65. Sharpe W.F., 1964, “Capital-Asset Prices - a Theory of Market Equilibrium under Conditions of Risk,” Journal of Finance, vol. 19,No. 3, 425-442.
    66. 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, vol. 33,No. 4, 432-444.
    67. Srinivasan R., Lilien G., 2009, “An Empirical Investigation of RandD, Advertising and Firm Performance in Recessions,” Working Paper.
    68. Srinivasan R., Lilien G.L., Sridhar S., 2011, “Should Firms Spend More on Research and Development and Advertising During Recessions?,” Journal of Marketing, vol. 75,No. 3, 49-65.
    69. Srinivasan R., Rangaswamy A., Lilien G.L., 2005, “Turning adversity into advantage: Does proactive marketing during a recession pay off?,” International Journal of Research in Marketing, vol. 22,No. 2, 109-125.
    70. Srivastava R.K., Shervani T.A., Fahey L., 1998, “Market-based assets and shareholder value: A framework for analysis,” Journal of Marketing, vol. 62,No. 1, 2-18.
    71. Steenkamp J.B.E.M., Fang E., 2011, “The Impact of Economic Contractions on the Effectiveness of RandD and Advertising: Evidence from US Companies Spanning Three Decades,” Marketing Science, vol. 30,No. 4, 628-645.
    72. Stock R., 2003, “Der Einfluss der Kundenzufriedenheit auf die Preissensitivita¨t von Firmenkunden,” Die Betriebswirtschaf, vol. 63,No. 3, 333-348.
    73. Tuli K.R., Bharadwaj S.G., 2009, “Customer Satisfaction and Stock Returns Risk,” Journal of Marketing, vol. 73,No. 6, 184-197.
    74. Zeithaml V.A., Berry L.L., Parasuraman A., 1996, “The behavioral consequences of service quality,” Journal of Marketing, vol. 60,No. 2, 31-46.
    口試委員
  • 楊美玲 - 召集委員
  • 唐俊華 - 委員
  • 王昭文 - 指導教授
  • 陳妙玲 - 指導教授
    • 口試日期 2012-06-14 繳交日期 2012-06-25

    [回到前頁查詢結果 | 重新搜尋]

    如有任何問題請與論文審查小組聯繫