破產宣告對產業對手的財富效果與營運績效影響─多角與非多角化

多角化政策是公司理財領域近來頗為熱門的話題。有許多學者針對多角化政策的適當性做實證研究，包括它與投資支出、營運績效、股價、成長性等關係，其中偏多數學者認為多角化對一個公司有害無益。然而，雖然已有實證研究指出多角化的壞處以及可能為公司帶來的損失，我們仍可觀察到，許多公司仍持續進行多角化，包括水平整合與垂直整合等，力圖產品線多元化或達到生產整合效益。這樣的現象，顯示多角化必有其可取之處。本文試圖以破產宣告事件進行剖析，探討當產業內某一公司宣告破產時，競爭對手多角化程度是否會進而影響事件日附近的股價表現與營運績效。若多角化對手的股價表現或營運績效優於非多角化對手，顯示多角化在破產宣告事件時將提供一層保護措施，協助同一產業之對手安然度過系統風險。本人採用量化的事件研究方法，衡量破產事件宣告日之後，對手的股價表現與營運績效是否符合本人預期。根據實證研究顯示，多角化對手在事件日附近的股價表現並無顯著反應，但非多角化對手的股價受到破產事件宣告影響，股價有顯著下挫趨勢，因而在比較分析之後，發現多角化對手的股價反應優於非多角化對手，顯示多角化可能提供公司一層保護措施，使投資人不至於因事件承受價值損失。同樣地，利用營運績效做類似檢測，結果亦與股價表現相近。本人亦採用多變量分析探討可能影響股價異常報酬的潛在影響因素。結果顯示，多角化與否的確是一個顯著的影響因子；此外，槓桿與自由現金流量亦會使股價異常報酬下降，顯示槓桿越大、股東權益價值波動性越大；自由現金流量過多，亦會使股東權益受損，顯示代理問題的確存在，尤其在產業中某間公司宣告破產時，代理問題將更迫切需要解決。同樣地，利用迴歸分析多角化程度與營運績效間的關係，發現多角化對手在破產宣告後營運績效優於非多角化對手，顯示就營運績效層面觀之，保護效果依然存在。

關鍵字

多角化；破產宣告；對手股價反應；共保效應；營運績效

並列摘要

Diversification has been a hot issue in the field of corporate finance. Many scholars have done empirical researches on pros and cons of diversification, and most empirical results point out the disadvantages of diversification. Nevertheless, we can still observe that many cases of diversification still exist in the business world, both horizontally and vertically. This indicates that diversification must have its value. I try to analyze and find out the advantages of diversification from the perspective of bankruptcy announcement – whether diversification provides a protection to abnormal returns and operating performances of industry rivals when one of the firms in the industry announces bankruptcy filing. If abnormal returns or operating performances of diversified rivals are significantly better than focused rivals, then we can conclude that advantages, or the protection from coinsurance effect, do exist for diversification. I use quantitative analysis and standard event study approach to see if abnormal returns and operating performances of industry rivals match my expectation. According to the empirical results of my thesis, the abnormal return of diversified rivals is not significantly different from zero around the bankruptcy filing announcement, but abnormal return of focused rivals is significantly negative. As for operating performances, similar results can be obtained. What’s more, I use cross-sectional analysis to see whether diversification does play an important role in increasing abnormal returns of diversified rivals, and the results of cross-sectional analysis supports my hypothesis. Besides degree of diversification, leverage and free cash flow are other two significant factors that bring abnormal returns downward. This indicates that agency problems exist empirically, especially when one of the firms in the industry files for bankruptcy protection. Having done researches on the wealth effect of bankruptcy filings on industry rivals, future researches may focus on the supply chain in order to discuss whether coinsurance effect also exists along the supply chain. This line of in-depth researches may bring strategic thoughts and viewpoints to decision makers of corporations as a reference of whether diversification is appropriate for the firm or not.

並列關鍵字

diversification ； bankruptcy filings ； abnormal returns ； coinsurance effect

參考文獻

Ahn, S. and D. Denis (2004), ‘Internal Capital Markets and Investment Policy: Evidence from Corporate Spinoffs’, Journal of Financial Economics, Vol. 71, pp. 489-516

Aigbe Akhigbe, Anna D. Martin and Ann Marie Whyte (2004), ‘Contagion Effects of the World’s Largest Bankruptcy: the Case of WorldCom’, The Quarterly Review of Economics and Finance, Vol. 45, pp. 48-64

Berger, P. and E. Ofek (1995), ‘Diversification’s Effect on Firm Value’, Journal of Financial Economics, Vol. 37, pp. 39-65

Campa, J. and S. Kedia (2002), ‘Explaining the Diversification Discount’, Journal of Finance, Vol. 57, pp. 1731-1762

Chen, S.S., Ho K.W., and Ik K.H. (2005), ‘The Wealth Effect of New Product Introductions on Industry Rivals’, Journal of Business, Vol. 78, pp 969-996

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破產宣告對產業對手的財富效果與營運績效影響─多角與非多角化

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