企业转投资与其系统风险关系之的研究.docVIP

企業轉投資與其系統風險關係之研究 (台灣紡織業與電子業之比較 王克陸 包曉天 國立交通大學管理科學研究所 新竹市大學路1001號 Tel: 03-5712121 ext 31760 Fax: 03-5713796 E-mail: lkwang@cc.nctu.edu.tw 國立交通大學管理科學研究所 新竹市大學路1001號 Tel: 03-5712121 ext 57113 Fax: 03-5713796 E-mail: htpao@cc.nctu.edu.tw 摘 要 民國88年初，陸續爆發知名企業因轉投資失利造成財務危機的事件，釀成股市風潮，影響金融安定，使我們有必要重新檢視企業轉投資的行為。本研究之目的在探討企業轉投資與其系統風險的關係，並比較傳統之紡織業與科技導向之電子業兩者的差異。企業進行轉投資活動有助於多角化，但國內外多項實證結果頗不一致。本研究使用台灣經濟新報財務資料庫，選取民國83年至87年計5年間，紡織業與電子業曾進行轉投資活動的公司，使用時間數列橫斷面迴歸方法及類神經網路敏感性分析方法，研究結果發現，紡織業公司之轉投資活動導致系統風險下降，但電子業公司之轉投資活動卻造成其系統風險增加。針對轉投資率較高的企業分析，這種差異更為明確。不同產業的差異或許是過去研究結果不一致的主要原因。藉由比較兩不同產業，以及研究模型與統計方法上的修正，可以更有效地分析企業轉投資活動與系統風險之關係，並提出可能之解釋。 關鍵詞：系統風險、轉投資、多角化 The Relationship between Firms Systematic Risk and Its Long Term Investment –A Comparison for Fiber Industry and Electronics Industry in Taiwan Kehluh Wang Hsiao-Tien Pao Institute of Management, National Chiao Tung University Abstract Since early 1999, there were some listed companies in Taiwan suffering severe financial crisis due to long-term investment activities. The purpose of this study is to explore the relationship between the systematic risk and the long term investing activities for companies in the fiber industry and in the electronics industry. Diversification from investment may reduce the systematic risk, but the empirical results are controversial. We use 5 years data (1994-1998) from the TEJ financial database and conduct the pooled time series cross section regression analysis and neural network sensitivity analysis. The results show that the systematic risk is reduced with investment activities for the fiber industry. But for the electronics industry, the systematic risk is higher as firms increase the investment. The difference is even more significant when we only consider the companies with higher investment ratios. This diverse effect between industries may be one of the reasons why the results in the literature are inconsistent. Our study can clarify the relationship between the systematic risk and the divers