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研究生：	彭育薇 Pong, Yu-Wei
論文名稱：	多角化對公司價值與風險的影響 Two Essays on the Effect of Diversification on Firm
指導教授：	黎明淵 Li, Ming-Yuan Leon
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融研究所 Graduate Institute of Finance
論文出版年：	2010
畢業學年度：	98
語文別：	英文
論文頁數：	59
中文關鍵詞：	多角化、系統風險、非系統風險、分量迴歸模型、股東權益報酬
外文關鍵詞：	Diversification, Systematic risk, Firm-specific risk, Quantile Regression, ROE
相關次數：	點閱：174 下載：11
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第一篇論文之目的主要探討多角化對公司風險的影響。我們利用資本資產定價模型將風險分成兩部分:系統性風險與非系統性風險，並且同時探討產業多角化與國際多角化對於風險的影響。為此，我們選擇美國2003-2008年的樣本，並使用OLS模型來檢測其中的關係。實證結果發現產業多角化顯著降低系統風險、非系統風險、以及總風險。然而國際多角化卻顯著增加系統風險，但對於非系統風險與總風險的影響是不顯著的。
第二篇論文之目的為同時探討產業多角化與國際多角化對股東權益報酬率的影響。為此，我們選擇美國2003-2008年的樣本，並使用OLS模型以及分量迴歸模型來檢測其中的關係。實證結果發現，低獲利公司的ROE與產業多角化程度呈現正相關，但高獲利公司與產業多角化卻呈現負相關。結合企業生命週期理論，當公司進入成熟期或衰退期時，應該採取多角化策略來擴展公司盈餘；當公司處於成長階段，應該著重在核心事業與專注於現有的市場利基。另外，國際多角化與ROE的為負向相關，特別是對於低獲利的公司。

In essay one, this study decomposes the risk into two categories: systematic versus idiosyncratic, to examine the relationship between industrial diversification and risk, and international diversification and risk. The feasibility of the model is tested using data for U.S. non-financial firms from 2003 to 2008. When using an OLS test, we find that industrial diversification has explanatory power with regard to neither systematic nor or non-systematic risk, and the relationship between them is negative. In contrast, the international diversification is positively related to both systematic risk and firm-specific risk, and it has no explanatory power to firm-specific risk and total risk.
The second essay applies quantile regression approach to analyze the relationship between ROE and diversification in U.S. non-financial firms from 2003 to 2008. Our empirical results are consistent with the following notions. First, for firms with below average earnings, firm ROE exhibits a positive relation to industrial diversification and the opposite is true for firms with above average earnings. Combined with life cycle theory, a firm which enters the mature or decline stage should diversify its business to enhance earnings. Contrary, firms in growth stage should maintain their dominant business and consolidate the market niche on the priority rather than diversification. Second, there is a negative impact of increased international diversification on firm profitability, especially for less profitable firms. It suggests that the benefit of international diversification is offset by the cost.

CONTENTS 
Essay 1: Diversification and risk ..................................................................................... 7 
1. Introduction ................................................................................................................... 7 
2. Literature Review .......................................................................................................... 8 
2.1. Definition of diversification .............................................................................. 8 
2.2. Motivations for diversification ........................................................................ 10 
2.3. Diversification and risk .................................................................................... 11 
3. Methodology and data ................................................................................................. 12 
3.1. Calculation of risk ........................................................................................... 12 
3.2. Regression specification .................................................................................. 13 
3.3. Data ................................................................................................................. 13 
4. Empirical results .......................................................................................................... 15 
5. Conclusions ................................................................................................................. 18 
Reference .......................................................................................................................... 20 
Essay 2: Diversification and firm profitability ............................................................ 33 
1. Introduction ................................................................................................................. 33 
2. Literature Review ........................................................................................................ 35 
2.1. Why diversify? ................................................................................................ 35 
2.2. Industrial diversification and firm value ......................................................... 35 
2.3. International diversification and firm value .................................................... 37 
3. Methodology and data ................................................................................................. 38 
3.1. The OLS regression model (non-quantile regression) .................................... 39 
3.2. The QR model (quantile regression) ............................................................... 40 
3.3. Data ................................................................................................................. 42 
4. Empirical results .......................................................................................................... 43 
5. Conclusions ................................................................................................................. 46 
Reference .......................................................................................................................... 48 
 
TABLE OF CONTENTS 
Table 1 Summary of the literature — the effect of diversification on risk ......................... 22 
Table 2 Definitions of dependent/independent variables .................................................... 23 
Table 3 Descriptive statistics of dependent/independent variables ..................................... 24 
Table 4 Impact of diversification on systematic risk— using the MSCI world index to calculate the market return .......................................................................................... 25 
Table 5 Impact of diversification on firm-specific risk— using the MSCI world index to calculate the market return .......................................................................................... 26 
Table 6 Impact of diversification on total risk— using the MSCI world index to calculate the market return ......................................................................................................... 27 
Table 7 Impact of diversification on systematic risk— using the S&P 500 index to calculate the market return .......................................................................................... 28 
Table 8 Impact of diversification on firm-specific risk— using the S&P 500 index to calculate the market return .......................................................................................... 29 
Table 9 Impact of diversification on total risk— using the S&P 500 index to calculate the market return ............................................................................................................... 30 
Table 10 The percentage of multi-national firms across different numbers of foreign areas ................................................................................................................................... 31 
Table 11 The percentage of multi-segment firms across different number of secondary segments ...................................................................................................................... 32 
Table 12 Summary of the literature — the effect of industrial diversification on firm ...... 51 
Table 13 Summary of the literature — the effect of international diversification on firm . 52 
Table 14 Definitions of dependent/independent variables .................................................. 53 
Table 15 Descriptive statistics of dependent/independent variables ................................... 54 
Table 16 Impact of industrial diversification (INDDIV) on firm profitability (ROE%) across various quantile levels ..................................................................................... 55 
Table 17 Impact of international diversification (INTDIV) on firm profitability (ROE%) across various quantile levels ..................................................................................... 56 
Table 18 Impact of industrial diversification (INDDIV) on firm profitability (ROE%) across various quantile levels ..................................................................................... 57 
Table 19 Impact of international diversification (INTDIV) on firm profitability (ROE%) across various quantile levels ..................................................................................... 58 
FIGURE OF CONTENTS 
Figure 1 Impact of industrial diversification on profitability (ROE): QR estimates with 95% confidence intervals versus OLS estimate .......................................................... 59 
Figure 2 Impact of international diversification on profitability (ROE): QR estimates with 95% confidence intervals versus OLS estimate .......................................................... 59
                                    

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