Can Investor Recognition Explain the Diversification ＂Discount＂?

投資人辨識度可以解釋多角化『折價』嗎？

李韋憲(Wei-Hsien Li)

《證券市場發展季刊》 31卷2期 (2019/06) Pp. 99-137

https://doi.org/10.6529/RSFM.201906_31(2).0004

摘要

This paper investigates whether the observed diversification ＂discount＂ is partly due to the benchmarking error driven by a failure to consider investor recognition, the driver for one of the benefits of corporate diversification. The R-square of regression on the traditional excess value increases more than 50% and the coefficient of the diversified dummy drops more than 20% when the investor recognition proxy is included. In diversifying acquisitions involving targets with low investor recognition, the target firms are traded at a discount, however, the market reaction for those deals are favorable. Investor recognition is positively related to the excess value for standalone firms, acquisition targets, and spunoff units. My findings suggest that the benchmarking error caused by investor recognition explains a significant part of the diversification ＂discount＂ and researchers should use the benchmarking procedure with care.

關鍵字

Diversification ； Investor recognition

並列摘要

本文認為計算多角化公司價值時未考慮投資人辨識度會導致文獻中常見的多角化『折價』。投資人辨識度為公司多角化可能有益的原因之一。在公司超額價值的迴歸式中加入投資人辨識度後，迴歸式之R平方值增加約50%，而多角化變數的係數也下降超過20%。以低投資人辨識度公司為目標的多角化購併中，目標公司被深度折價，但同時市場對這些購併有正面的反應。本文也發現非多角化公司、多角化購併中的目標公司以及公司分拆中的被分拆公司的超額價值都與投資人辨識度正相關。是以傳統計算多角化公司超額價值之過程可能導致錯誤的推論，有需要檢討之處。

並列關鍵字

多角化 ； 投資人辨識度

參考文獻

Ahn, S., Denis, D.J., 2004. Internal capital markets and investment policy: evidence from corporate spinoffs. Journal of Financial Economics 71, 489-516.

Amihud, Y., 2002. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets 5, 31-56.

Anjos, F., Fracassi, C., 2015. Shopping for information? Diversification and the network of industries. Management Science 61, 161-183.

Autore, D.M., Kovacs, T., 2014. Investor recognition and seasoned equity offers. Journal of Corporate Finance 25, 216-233.

Baker, M., Wurgler, J., 2006. Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61, 1645-1680.