We investigate the relationship between advertising and research and development (R&D) expenditures with the firm¡¦s systematic and unsystematic risks. Our data covers from January 1981 to December 2007 with more than two thousand publicly listed firms in the New York Stock Exchange. In addition to classical least squares approach, we utilize quantile regression model to examine whether the estimated slope parameters vary across different quantiles of the conditional distribution of the firm¡¦s systematic risk and unsystematic risk. We generate six empirical generalizations. (1) Advertising is significantly associated with lower systematic risk for firms with lower, median and higher systematic risk, but with no significant effects on the firms with extremely low systematic risk. (2) R&D is significantly associated with higher systematic risk for firms with median and higher systematic risk, with no significant effect for those with lower systematic risk. (3) Advertising is significantly associated with lower unsystematic risk for firms with higher unsystematic risk, but with no significant effects for those with median and lower unsystematic risk. (4) R&D is significantly associated with higher unsystematic risk for firms with median and higher unsystematic risk, with no significant effect for those with lower unsystematic risk. (5) Our evidence shows that both advertising and R&D have a stronger effect on firms with higher systematic risk (unsystematic risk) than on those with lower systematic risk (unsystematic risk). (6) Moreover, our evidence suggests that advertising and R&D tests resoundingly support our hypothesis that the coefficients vary across the quantiles.
Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0619109-003737 |
Date | 19 June 2009 |
Creators | Lin, Yu-yan |
Contributors | Jen-Jsung Huang, Miao-Ling Chen, Ming-Chi Chen |
Publisher | NSYSU |
Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
Language | English |
Detected Language | English |
Type | text |
Format | application/pdf |
Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0619109-003737 |
Rights | not_available, Copyright information available at source archive |
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