یک مدل برای توضیح بازده سهامدار: مفاهیم بازاریابی

This study attempts to lend empirical evidence to the relevance of the arbitrate pricing theory in providing economic interpretation to stock market factors. A multistage model to explain the stock returns of a representative set of U.S. companies is developed. Monthly returns data for individual securities are obtained and the cross-sectional interdependencies between securities are identified. The returns of the securities are found to be related to at least three, and possibly four, factors. The hypotheses related these factors to broad economic aggregates such as cost and supply of money, in addition to the market return index. The presence of idiosyncratic industry effect in the market is also demonstrated. The replication of the analysis with another sample from a different time period yields similar results. Marketing implications are drawn based on the findings of this study.

Every organization has multiple stakeholders-employees, shareholders, and management, to name a few whose performance expectations may be different. Shareholders may believe that organizational performance is excellent if the earnings per share is high; management may be satisfied with a performance that meets internal rate of return, profitability, and market share requirements; and employees may be satisfied if organizations have the ability to meet their salary and promotion expectations. The multiple constituency perspective is best illustrated by Lloyds Bank which reported a big loss in 1989, yet the CEO claimed it was a good year for the shareholders.Most previous research on organizational performance has adopted the perspective of management and examined the effects of several strategy and process factors on performance measures such as profitability and market share. For example, the strategy literature has primarily been concerned with how organizations perceive the markets they operate in and make decisions regarding the posture to adopt in those markets (Porter, 1980). The organization behavior literature, on the other hand, has focused on the contingent relationships between design and performance. Based on the studies examining organizational performance from the shareholder's perspective, the general argument made is that stock returns are idiosyncratic and cannot be predicted. The focus of the present study is to address this assumption. Specifically, the present study develops a multistage model to explain the stock returns of a representative sample of companies listed in the New York Stock Exchange. In the first stage, the study uses capital asset pricing model (CAPM) principles to evaluate the common variation in stock returns with the market return index. In the second stage, the study uses a model based on the arbitrage pricing theory (APT) suggested by Roll and Ross (1995) to identify and evaluate the effects of two additional factors, namely the cost of money and the availability of supply of money. In the third stage, the study evaluates if there is a systematic variation in stock returns with the industry to which a particular company belongs. Empirical support for the conceptual model of the study would indicate that stock movements are not idiosyncratic and can, in fact, be predicted (Ferson and Harvey, 1991). The significance of hypothesized factors in the present study may provide clear evidence of whether and to what extent movements in stock prices can be explained. Previous studies have shown the relationship between stock returns and measures of brand equity (e.g., market-to-book equity, corporate and brand reputation). If so, subsequent studies can enable researchers to evaluate the degree to which the factors governing stock returns are related to measures of marketing variables such as corporate and brand reputation and therefore, brand equity.

The purpose of this study was to develop a model to explain stock returns. In doing so, the study accomplished two major tasks: first, it showed that stock returns are influenced by important economic forces (beyond the general market factor) and second, it assigned economic meaning to such forces. The results of the study show that the multiple factor model does a good job of predicting stock returns. It is interesting to note that multiple factor models are increasingly being used in portfolio management and risk factors associated with inflation rates, the term structure of interest rates, economic output and money availability are being factored in to predict the variability in individual stock returns Ferson and Harvey 1991 and Spiro 1990. Our study adds to this stream of research and empirically shows that cost and supply of money factors add significantly to the variability accounted for by the market risk factor. One specific advantage in including additional factors is that the estimate of the cost of equity (and thus the cost of capital for the firm) will be more accurate. The interdependence between various functional areas such as finance and marketing has not received much attention in the business literature (Zinkhan and Zinkhan, 1994). Also, it is not obvious that financial managers are aware of the interests of marketing groups in the development of appropriate business strategy (Zinkhan and Pereira, 1994). Therefore, in this research we attempt to show the link between marketing and finance through the subsequent discussion of our results. It is well known that systematic risk is the only risk that matters to stockholders because they cannot diversify it away while they can diversify away the unsystematic risk component (Lubatkin and Chatterjee, 1994). In general, the lower the systematic risk, the higher the price of a firm, everything else being constant. What this implies in the context of our study is that the addition of significant factors other than the market factor (i.e., cost and supply of money) increases the level of systematic risk and thus should decrease the price of the firm. When systematic risk is high, firms will face higher interest payments which reduce their cash flows thereby making them vulnerable to environmental uncertainties. From a marketing perspective, while all firms will be exposed to the same macro-economic factors such as cost and supply of money, firms can lessen the impact of such forces by their choice of appropriate marketing strategies. For example, a firm that can increase the level of loyalty toward and equity of its brands may be less sensitive to the effects of environmental forces. Previous research by Simon and Sullivan (1993) and Lane and Jacobsen (1995) indirectly supports this argument. Although some may argue that stockholder returns are at the corporate and not at the brand level, it should be noted that our recommendation is for organizations to simultaneously increase the equities of all of its brands and of the corporate entity. At the least, our recommendation would be more relevant for firms that use an umbrella branding strategy. Additionally, firms may reduce their sensitivity to interest rate factors by shifting their mix of offerings to be less dependent on products and focus more on services and consumables. Another important point to note is that breaking down systematic risk into different categories can be very helpful in the marketing of investment companies and managers. One way is to use it as a forecasting tool to emphasize certain characteristics in the portfolio of an investment company or manager which signal better future performance. The strategic decisions determining the level of exposure to systematic economic factors influence the average return, but the tactical decisions can be made without any sacrifice of portfolio return, because they deal merely with idiosyncratic risk (Roll and Ross, 1995). As a fine-tuning tool it can be very helpful in forward-looking portfolio construction. The development of new products (e.g., combination of stocks) is possible if the manager of financial portfolios is aware of the systematic risks associated with the stocks.