公司特质、市场激励与上市公司多元化经营

223Lucas198941.QLangStulz,1994;BergerOfek,1995CommentJarrell,1995;DiversificationDiscountJensenMeckling(1976)5Aggarwal,2001IdiosyncraticRiskMay(1995)CEOJenson,1986;Stulz,1990MilgramRoberts(1990)Stein(1997)ScharfsteinStein2000Lamont(1997)ShinStulz(1998)ShinPark(1998)RajianServaesZingales(2000)BergerOerk(1995)Scharfstein(1998)6MarketMicrostructureHabib(1997)QiaoLiu200119911995totalreturntoshareholder,TSRBCG1996TSRBCG1996307Chandler(1990)Lucas1989--2.2.12.1.12090Penmse(1959)Alchian(1950)82.1.2TTiitiitT=∑(,)iipbqq=(1)[]0,1q∈i[)0,p∈∞1[]0,ibT∈iii10p≥9i0,0ipbdqdqddibyxxw(,)(,)iiiiypbgtxq=gtgxi()()(),max,,ixtpbgtxxpqqv=-⎡⎤⎣⎦{}()max,iiititpq∑ptiq()()(),,,TtTtpqpqpq+-iib2iqiq210FfiitixiTd()()()(),,vvpbpbqq==Ψ(2)q()()()(),,,,pbTpbpbapqd=+Ψ(3)(3)()()()()()()()()()10,2,,2,,,ppbTpbTpbFbpbfbdbqbpqpqdd-′=++Ψ+Ψ∫(4)(4)()0Tfbdbqq′=∫(4)qx11()Fb()()()()10,,pTpbfbdbqgpqd-′=+Ψ∫(5)()()(),max,,,,pbpbpbabgΨ=⎡⎤⎣⎦(6)2.22.2.1(6)pb(2)()vq1()1100vaqqqbqqqgqq⎧⎪=≥⎨⎪⎩(7)()**vaqqqgqq≥⎧=⎨⎩(8)StokeyLucas(1989)(6)qvq2pbq=0.05d=12121212234(),pbq313312g()1a()0ag()1a()0a()0b()1b()0b()1b0q1q*q(),00tp=v()()00ab()()2,,TTpqpq()0bg()()00abg()()()()(),12,12,12,12,TTTTTpppppq⎡⎤++⎡⎤⎣⎦⎣⎦()()11abv()1aggqabq()*,,gTxTvaqd′′⎡⎤=+⎣⎦()()*2,2,gTxTFvbqdq′′⎡⎤=+⎣⎦(3)(4)(5)21233(8)3(3)(4)(5)14(7)qqq0qq01qqq1qq2.2.2vqzq1zg,ab()()()()()()()(),,1,,Tpbpbzpbaqpqvdnqvnq′′′=+-+15()()()()()()()()()()()()()()101,,,1221zTTpbFfdzFzfdqbqpqpqvdnqqvdnqqqvdnqqvdnqqq′=++-′′′+-+′′′+∫∫3n()()()()()()1000,0,2Tfdadnbpqdnqqq′′′==+∫()()00gbaab'ab′()1a()1b()1ga()1gbwz()()11baaIBMIBMIBM3.1998,1997,37916windwise2001,Entropy:()()1log1/niiiEsss==∑isik()()logEsk=‘broad-spectrum’and‘narrow-spectrum’diversification,()()()1GbgggEsEsSEs==+∑,1,...,ggiiSSsgG∈==∑G()11logGbgggEsSS=⎛⎞=⎜⎟⎝⎠∑17()()()logggiggiiSEssSSs∈=∑UDRDRDUD3791998-20003.2.1BergerOfek19953791998-200018()lnEVMVIV=MV=+*+IV=()()1ntiiSaleAssetSaleAssetMultiplier=×∑4443792000199892744244419*,**,***010%5%1%Robust-ClusterWilcoxon3.2.2(),pbq()ES56PanelA:379EV19980.04820.00000.02230.0000EV20000.0521**-0.0508***0.0381*-0.0735***EV2000–E19980.0039***-0.0507***0.0158***-0.0375***PanelB:92EV19980.03790.0000-0.00230.0029EV20000.0427-0.0087-0.0389-0.0688EV2000–EV19980.0048-0.0088-0.0386-0.0195PanelC:RD/UD74EV19980.02300.00000.0464-0.0080EV2000-0.1226**-0.1075***-0.0598*-0.0874**EV2000–EV1998-0.1456***-0.0852***-0.1063***-0.0416**PanelD:RD/UD42EV19980.17780.04600.1781*0.0080EV20000.20850.0447-0.0074-0.0511EV2000–EV19980.0307**-0.0013***-0.1855**-0.1793***20235()ES1(00.12)21320.12,0.3510030.360.574340.640.83235%6Wilks'LambdaF120.9703.82233750.0100.998.20733750.8920.9605.25933750.0010.9782.77433750.0410.996.45333750.7160.9841.97933750.117Log0.9713.68033750.0120.992.98833750.3997721(),pbq71.0.090.0811.-0.1470.0040.1760.0011.0.0380.462-0.1430.0050.0570.2691.-0.020.6980.0530.3070.0540.2960.1730.0011.220.1440.005-0.3030-0.24100.220-0.0360.491.-0.0870.093-0.0490.346-0.0620.225-0.0610.239-0.1260.014-0.020.6931.-0.1110.0310.200.0730.156-0.1060.039-0.0740.151-0.1250.0150.1470.0041.-0.0140.7910.1360.0080.26900.1130.028-0.0530.306-0.0350.502-0.0810.1170.1090.0341.1..2.5%200050%23883.2.330Palich20009,Curvilinearityhypothesis924singlerelatedunrelatedABCMovingCut-pointApproximatingApproachMCAA379ABaA∀∈bB∈abAB10111213A251010()(0.45,0.55]ES∈t0.06AB()0.55ESAB()0ES=()()0.55ES3.2.2261111()(0.20,0.45]ES∈AB()0.45ES()0.20ES271212()(0.10,0.20]ES∈()0.20ESAB()(0.45,0.55]ES∈B()(0.10,0.20]ES∈AB3.2.1()(0.45,0.55]ES∈28()0.45ESAB13()(0.45)ESA()0.55ESA()(0,0.45]ES∈()(0.55,1]ES∈()(0.45,0.55]ES∈134.2920903791998200030MCAA()(0.10,0.20],(0.20,0.45],(0.45,0.55]ES∈lll()0.55ES=l311.Aw,B.Y.andG.Batra.1998.“Firmsizeandthepatternofdiversification,”InternationalJournalofIndustrialOrganization,16-3:313-331.2.Baldwin,J.R,Beckstead,D.andR.E.Caves.2000.ChangesintheDiversificationofCanadianManufacturingFirms(1973-1997).ResearchPaper.AnalyticalStudiesBranch.Ottawa:StatisticsCanada.3.Hall,E.H.andC.H.St.John.1994.“AMethodologicalNoteonDiversityMeasurement,”StrategicManagementJournal,15-2:153-168.4.Jacquemin,A.P.andC.H.Berry.1979.“EntropyMeasuresofCorporateGrowth,”TheJournalofIndustrialEconomics27:359-69.5.Kim,W.C.1989.“DevelopingaGlobalDiversificationMeasure,”ManagementScience,35-3:376-383.6.Montgomery,C.A.1994.“CorporateDiversification,”JournalofEconomicPerspectives8,3:163-78.7.Roelandt,T.,denHertog,P.,vanSinderen,J.andVollaard,B.1997.ClusteranalysisandclusterpolicyintheNetherlands:Positionpaper.PresentedattheOECDworkshoponClusteranalysisandclusterpolicy.Amsterdam,October1997.8.BCG(1996):SteindesAnstoßes,Surveyarticle.ManagerMagazin,Heft12,Dezember,S.146-161