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The Effect of Advertising Expenditure and Customer Satisfaction on Corporation Risk under Different Market States in The United State Market

In this study, we examine how advertising and customer satisfaction affect a firm¡¦s systematic risk (£]-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 £]-risk under the two distinct markets. We develop a two-stage model procedure. First, each individual firm¡¦s £]-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 £]-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 £]-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 £]-risk under the highly volatile market, while customer satisfaction is not. Customer satisfaction, however, is negatively significant associated with £]-risk under the tranquil market, while advertising is not.

Identiferoai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0820112-115642
Date20 August 2012
CreatorsLi, Po-Yi
ContributorsHuang,Jen-Jsung, Miao-Ling Chen), Chou-Wen Wang, Mei-Ling Yang
PublisherNSYSU
Source SetsNSYSU Electronic Thesis and Dissertation Archive
LanguageEnglish
Detected LanguageEnglish
Typetext
Formatapplication/pdf
Sourcehttp://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0820112-115642
Rightsuser_define, Copyright information available at source archive

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