【主讲】颜安 副教授 (美国福特汉姆大学商学院)
【主题】Advertising, Investor Recognition, and Stock Returns
【时间】2011年5月20日 (周五) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】In this paper, we test the implications of Merton's (1987) investor recognition theory in a new context, namely, the effect of advertising on stock returns. We extend Merton's (1987) theory by assuming that advertising affects stock returns by attracting investor recognition to the firm's stock. The increased degree of investor recognition attracted by advertising leads to an increase in stock returns in the contemporaneous advertising year but a decrease in stock returns in the future (subsequent to the advertising year). Our empirical findings support these predictions. We find that a higher level of advertising growth is associated with higher contemporaneous stock returns and lower ex-post long run stock returns. The effect of advertising growth on future stock returns exists even after we control for other price predictors, such as size, book-to-market, and momentum, and product market considerations, such as sales and profitability, as well as sample selection concerns. To further investigate the effect of advertising on stock returns under the investor recognition theory, we derive five hypotheses and document consistent findings. First, advertising increases a firm's visibility among investors in the contemporaneous advertising year. Second, the effect of advertising growth on future stock returns is more pronounced if a firm's advertising helps the firm attracts more investor recognition in the advertising year. Third, the effect of advertising growth on future stock returns is stronger if the stock experiences higher idiosyncratic volatility in the advertising year. Fourth, the effect of advertising growth on future stock returns is stronger for smaller firms, value firms, and firms with poorer ex-ante operating performance. Finally, we also find that the effect of advertising growth on future stock returns is stronger in the case when advertising increases compared to the case when advertising decreases.
【个人简历】http://www.bnet.fordham.edu/yan/CURRICULUM%20VITAE.pdf
【个人主页】http://www.bnet.fordham.edu/Finance_Research_Center/people.html
