Can Diversification Decrease the Unsystematic Risk？
| Autor: | Chih-Yuan, Yang, 楊智元 |
|---|---|
| Rok vydání: | 2004 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 92 More and more corporations diversify their operations to face the increasing competition. However, prior literature paid little attention on the relationship between diversification and corporate excess return. In this paper, we add the variable, the degree of diversification, into Fama & French（1992,1993）three-factors model. We also introduce panel data threshold regression to avoid the faults of insufficient time series observations and arbitrary separating the sample into different categories, such as small-size and big-size companies. Using a sample of 6,162 firm-years between 1997 and 2002, we observe diversification has a significant effect on firm’s excess return. In addition, the data can be divided into several small groups objectively by threshold regression since the threshold values are estimated by the data, not chosen by researchers’ prior belief. Therefore, we find some important factors working upon excess return lost their influence when the corporations are too big or too small. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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