Do market share and demand uncertainty influence the relation between advertising expenditures and shareholder value?

Evidence from multivariate regression models suggests market share and demand uncertainty influence the value to shareholders of advertising expenditures. Shareholder returns to advertising are lower for firms with greater market share over the full sample period; however, this market share effect dissipates during non-recession years. Results also show higher returns to advertising for sellers with more volatile revenues. From these results we infer that low market share firms with less predictable customer demand may be better positioned to unlock the full strategic value of advertising.