اثر مبتنی بر نوسانات در ارزش سهام: اتحاد فعالیت در صنعت رایانه

We use an event-study analysis to understand how alliance activity affects firm risk. The risk measure is the implied volatility of a firm’s stock price and the events are alliance announcements to the market. We build on the previous event-studies in the alliance literature that focus on the change in shareholder value by taking the first step in delineating what part of that value arises from the changes in the firm’s risk. The analysis reveals that a number of factors within a firm’s control can be used to manipulate risk exposure in an alliance, including the similarity of the firm’s and the alliance’s core activities, the governance form of the alliance, and the function of the alliance. A primary goal of the firm is to increase shareholder value. Shareholder value is a firm’s market value computed as the sum of its future net cash flows discounted by an expected rate of return. The expected rate of return is proportional to the firm’s risk exposure due to shareholders’ aversion to risk, where risk is the volatility of the future cash stream. Thus, a firm can fulfil its goal by taking actions that have a net effect of either: (1) increasing expected future cash flows without offsetting increases in the risk; or (2) decreasing such risk without offsetting decreases in cash flow. A firm’s alliance activity has the potential of affecting both cash flows and firm risk in beneficial ways. Alliance activity provides access to a new set of resources that may create new appropriable value, even to the point of being a basis of competitive advantage (Dyer & Singh, 1999). As well, firms can lower their exposure to technological, demand and competitive uncertainties through certain alliance types by sharing risky investments and creating options in uncertain environments (e.g., Bowman & Hurry, 1993; Hagedoorn, 1993 and Kogut, 1991). The empirical evidence of net alliance benefits has been mostly supportive. For example, many event-study based analyses reveal significant positive cumulative abnormal returns—a sign that shareholders believe the alliance activity signalled by an announcement to the market will be valuable to the firms involved (e.g., Das, Sen & Sengupta, 1998; Koh & Venkatraman, 1991; McConnell & Nantell, 1985; Mohanram & Nanda, 1996; Park & Kim, 1997). However, the measure, cumulative abnormal returns (CAR), does not separate alliance-related cash flow changes from alliance-related risk changes. Such a separation of effects may be valuable. It may lead to finer adjustments in the choices that firms make in their alliance activity in order to better optimize the combination of both effects. The focus in this paper is on the alliance-related risk effects calculated using an event-study methodology. We offer this as the first step in understanding the separate effects; we begin to unbundle the risk effect from the full alliance effect on shareholder value. We explore how the market-perceived risk changes when a firm chooses to engage in alliance activity, and specifically when the firm can select alliance characteristics including: (1) the relatedness of the alliance activity to the firm; (2) how the alliance is governed; and, (3) what function the alliance serves for the firm.

rms face many types of risk from both outside sources and inside forces. Demand uncertainty is the risk entailed in the volatility of future sales of a product in the market; generally, new and unfamiliar products face greater demand uncertainty. Competitive uncertainty is the risk entailed in the volatility of future impacts of rival actions, such as entry, exit, price reductions, product introductions, etc. Regulatory uncertainty is the risk entailed in the volatility of future impacts of governmental rules affecting the firm’s operations, taxation, inter-firm actions, etc. Other external sources of risk include: the uncertainty in the external progress of technologies underlying the firm’s processes; the uncertainty in macro-economic conditions leading to changes in unemployment, interest rates and market returns; the uncertainty in the supply and price of many raw goods, like fuel; the uncertainty in the costs and effectiveness of distribution channels; the uncertainty of the complementary goods supply and demand; etc. Besides the numerous potential sources of external risk, firms also face risks from inside. These are potentially less threatening because the firm has the potential to measure and control them directly. Technological uncertainty is the risk entailed in the probability that a firm’s innovation may not work as required; generally, more radical innovations face greater technological uncertainty. Operations uncertainty is the risk entailed in the variance in a firm’s output—in its quantity and quality—and in the cost efficiency of production. Bankruptcy uncertainty is the risk of the firm being unable to meet its debt obligations. Firms may face further risks due to the type of product created (e.g., risk of product liability litigation), how that product is created (e.g., risk of environmental damage), who it employs (e.g., risk of unionisation), and whether its employees are doing what they are supposed to do (e.g., risk of fraud, misappropriation, misuse of company resources, or criminal activity). Firms can control some of these risks through structural choices. For example, the cost structure underlying operations uncertainty is dependent on the firm’s choice of operating leverage—its fixed costs relative to its total costs. Its bankruptcy uncertainty is dependent on the firm’s choice of financial leverage—its debt to equity ratio. The stock market categorizes the various forms of risk in a particular way under the capital asset pricing model (CAPM). Firms face some form of general market risk that subsumes the macro-economic risks affecting all firms and the average of all the industry-related risks. This meta-risk is then modified through a factor—β—to account for some of the more specific risks faced by the firm. β is determined by the firm’s business(es), its degree of operating leverage and its degree of financial leverage. The first of these factors accounts for the risks faced by the average firm in the industry, including the risks due to demand, distribution, raw materials supply, labour, product liability, regulation etc. Collectively, these indicate the systematic risk of the firm—that part of risk the firm faces that an efficiently diversified shareholder can expect compensation for in terms of expected returns. Any risk not correlated to the overall market returns is unsystematic risk for the firm under the CAPM model. When we refer to shareholder risk in this paper, it is the volatility of the share price of the firm—the total risk—both systematic and unsystematic.

There are a number of reasons why volatility increases when the alliance and firm have similar core activities. First, the alliance may not provide diversification that would reduce risk, but it instead may add to the stakes in one activity. Second, the alliance may limit the learning possibilities that could bring in new information that could reduce uncertainty, and instead may add to cognitive dissonance problems. Third, when the other alliance partners do not have the same fit with alliance activities, the possibility that the focal firm may be a source of unintended spillovers to potential rivals increases; this, in turn, may increase the volatility of future rivalry. Fourth, the signal that the firm sends to the market that it needs, or has sought out, help to reap benefits from its core activities may show a fundamental weakness in the firm’s business; such a reliance on other firms is not particularly comforting to some shareholders. Fifth, the signal that the alliance sends to shareholders that the firm’s core activities are the subject of an alliance’s reveals that the firm’s core is vulnerable to imitation or at least attempted imitation and substitution by other firms; this action essentially denies the firm a resource-based advantage in its primary business (e.g., Peteraf, 1993), opening it up to the volatility of competition. There are a number reasons why volatility decreases when the alliance has joint venture governance. This outcome emerges from two possible factors: (i) the joint venture governance form entails fewer risks than other governance forms; (ii) joint venture governed alliances are more likely to be the types of alliance that decrease risk or are lower risk than the types correlated with alternative governance mechanisms. Regarding the first factor, the mutual stake and dependence of the partners may decrease the incentives to exploit transactions hazards for private gains when a harmed partner has effective retaliatory means due to the dependence. The greater commitment in this governance form may also imply that the relationship has been given more thought and effort—better due diligence, better monitoring of efforts, better oversight—in order to increase the probability of a successful outcome. The independence of the joint venture may also act to insulate the alliance from the incentives of parent firms to exploit transaction hazards, essentially reducing the risk of failure. Regarding the second factor, the greater commitment and flexibility of the joint venture may increase the probability that the firms will eventually find and mutually exploit some synergies among their collective resources. The longer and wider spectrum of interaction may also lead to other risk-reducing benefits, like the intentional learning of each other’s best practices and market intelligence, and the collusion of strategic actions against common industry forces for collective gains. We revisit some reasons why volatility should decrease for alliance activity involving standards setting that we proposed for H3. The act of gathering some of an industry’s firms together—possibly with their suppliers, distributors and complementors—allows them to focus on the removal of a number of common uncertainties for themselves and for consumers. When compatibility and support issues are agreed upon then consumers have greater certainty in the quality and value of the product, and producers and their supply chains have greater certainty in the demand, operation and technologies of the product. Additionally, some related regulatory uncertainties might be reduced when firms settle on standards rather than having them imposed by government. We comment on one further result—from Table 4, Firm Size (Logarithm of Year’s Revenues) has a decreasing effect on the regression of Actual Volatility Change (90-day Price Volatility Differences). This result supports the notion that the risk effect of alliance activity is more negative for larger firms. Controlling for other factors, this result implies that larger firms have greater risk reduction due to alliance activity, or smaller risk increases, or both. The greater diversification of larger firms and their size relative to a given alliance both act to absorb risk and explain the smaller risk increases. The possibility that larger firms tend to choose alliances that are aimed at reducing risk (e.g., through setting standards or collusion) rather than involving activities that might increase risk may explain why these firms might also experience a relatively higher correlation to risk reduction. When larger firms act more to protect their current share, they may tend to favour such choices.