I don't understand your comment. Given the same rate of return, investors prefer lower risk. So what you seem to be saying is conglomerates produce lower returns.

But I don't think that's what the conglomerate discount is, which I believe says that the components of a conglomerate are worth more than the conglomerate itself. More precisely, "Conglomerate discount is calculated by adding an estimation of the intrinsic value of each of the subsidiary companies in a conglomerate and subtracting the conglomerate's market capitalization from that value." [1]

[1] http://www.investopedia.com/terms/c/conglomeratediscount.asp...