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研究生： 林誠彥
Lin, Cheng-Yen
論文名稱： 公司多角化與股票報酬關係
Effects of Corporate Diversification on Stock Return
指導教授： 王明隆
WANG, MING-LONG
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： 62
中文關鍵詞： 公司多角化 、破產成本 、波動性 、Fama-French三因子模型
外文關鍵詞： Corporate Diversification, Bankruptcy Cost, Volatility, Fama-French Three-Factor Model.
相關次數： 點閱：156  下載：4 
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    • 這篇論文的目的是在探討公司多角化因子與股票報酬關係，以及多角化因子對股票報酬解釋之能力。過去的學者在研究論文中試著去探究是否公司多角化影響公司價值及股票報酬，理論非常眾多且分散且並未有一套理論能使學者們達成共識。但此些研究指出了公司多角化的確對公司價值及其股價有相當影響。 本篇論文探討公司多角化的影響，並使用Fama-French 三因子模型中因子，市場風險，小公司風險溢酬，高股東權益市價比溢酬來解釋個別股票報酬，並加入多角化因子，檢視是否可以在Fama-French 模型因子之外增加對個別股票報酬解釋能力。
    本篇研究使用的資料皆來自DataStream資料庫，範圍為美國上市公司，研究期間由1999到2008年。為檢視公司特性是否影響此些因子與報酬關係，我們將資料以公司規模，股東權益對市價權益比分成6個投組。我們更進一步加入破產風險來將原有6個投組區分成18個投組。
    研究結果發現，公司多角化因子，破產成本及資產報酬波動性的確對股價有解釋能力，尤其破產成本對個別股票報酬有相當強的解釋能力，並能在Fama-French 模型因子外對個別股票報酬增加相當多的解釋效果。

    In this paper, we try to find the effects of corporate diversification on stock return and how the factors of corporate diversification can explain individual stock return. Many studies debate on the effects of corporate diversification on firm value and stock return. Not until these scholars get a consolidated conclusion, it is obvious that corporate diversification must have something to do with stock returns. First, we discuss the effects of corporate diversification on stock returns and then differing from previous studies, we try to connect factors of corporate diversification to stock returns based on the Fama-French three-factor model. We try to relate our factors of corporate diversification to the model and discuss whether these factors can explain the individual stock returns after the Fama-French factors are applied.
    We obtain data in the U.S market from DataStream database during the period from 1999 to 2008. In order to take a deep insight to whether firms’ characteristics affect our results, we use a similar method to Fama-French (1992) to split our data into 6 portfolios based on their size and BE/ME ratio. In addition, we use z-score to break our 6 portfolios into 18 portfolios
    We find that the corporate diversification level and the factors: bankruptcy cost and volatility of return on assets, did affect the stock returns. Especially the bankruptcy cost, which can explain the stock return with a strong power. We also find the bankruptcy cost can add an explanation power to Fama-French factors on individual stock return.

    Chapter 1 Introduction 1 1.1 Research Motives and Background 1 1.2 The Effects of Corporate Diversification 4 1.2.1 The Effect of Volatility of Return on Asset 4 1.2.2 The Effect of Bankruptcy Cost 5 1.2.3 Wealth Transfer Effect 6 1.3 Fama-French Model 7 1.4 Research Contribution 9 1.5 Research Framework 9 Chapter 2 Literature Review 10 2.1 Literature Review of Diversification Loss and Gain 10 2.2 Literature Review of Effects of Diversification 12 2.2.1 Literature Review of Bankruptcy Cost 12 2.2.2 Literature Review of Volatility of Return on Asset 13 2.2.3 Literature Review of Wealth Transfer Effect 13 2.3 Literature Review of Fama- French Model 14 Chapter 3 Data and Methodology 16 3.1 The Definition of Variables 16 3.1.1 Stock Premium 16 3.1.2 Factors of Fama-French Three-Factor Model 17 3.1.3 Revenue-based Herfindahl Index 18 3.1.4 Bankruptcy Cost 18 3.1.5 Volatility of Return on Assets 20 3.2 Methodology 21 Chapter 4 Empirical Results 25 4.1 The Result of Descriptive Statistics 25 4.2 The Regressions Results 28 Chapter 5 Conclusion 33 5.1 Research Conclusions 33 5.2 Research Constraints and Suggestions 34 Reference 36 Tables of Contents Table 1 Descriptive Statistics of Variables........................................41 Table 2 Correlations Between Herfindahl index, Zscore and Variance.................48 Table 3 Regressions Results ….......................................................49 Figures of Contents Figure 1: Yearly Data of Fama-French Factors..............................62

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