為何股票能在高系統性風險事件下優於大盤 ─ 企業成長策略之觀點

Abstract

過去文獻指出，公司成長策略與市場評價之間抱持兩種相反的假說：「資訊不對稱假說」以及「綜效理論」。雖然這些文獻比較多角化公司與聚焦化公司差異，但卻無法得到決定性的一致結論。本研究觀察在高系統風險事件下，比較兩種成長策略的差異，以及一間企業的多角化程度與市場評價之間的關係。結果一致性的支持「資訊不對稱假說」，顯示多角化公司的市場評價較低；企業多角化程度越高，市場給予的評價越低。此外，本研究更進一步去觀察發生高系統風險事件後，企業多角化程度的改變與市場評價，發現多角化程度增加之公司相較於未改變之公司得到較差的市場評價。最後，本研究使用不同的多角化衡量方法使得研究具穩健性，並且結論一致性的支持「資訊不對稱假說」。

According to previous studies, two competing arguments exist in explaining the relation between diversification and the market value, namely, the “information asymmetry hypothesis” and the “theory of synergy”. Although there is a substantial literature that compares diversified firms to focused firms, this literature has not reached a decisive conclusion. In this paper, we investigate whether the market's valuation of a firm is correlated with its degree of diversification following the “black events”. The results are consistent with the “information asymmetry hypothesis”, and show significantly negative relation between the degree of corporate diversification and Tobin’s Q, even after controlling for other determinants. We show further that diversified firms have lower Q's and BHARs than equivalent portfolios of focused firms. And firms that increase their number of segments have significantly lower Q's than firms that keep their number of segment constant after the black event happened. Overall, our main findings are robust to various measures in diversification, and our evidence is consistent with the “information asymmetry hypothesis”