Effects of Corporate Diversification on Stock Return
| Autor: | Cheng-YenLin, 林誠彥 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 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. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|