管理選擇權價值、景氣循環與信用風險之研究

Abstract

本研究探討管理選擇權價值、景氣循環以及信用風險彼此間的關係，研究問題包括： (1)管理選擇權價值會受到公司、產業及總體景氣循環的影響嗎？ (2)公司的信用風險也會受到上述三種景氣循環的影響嗎？ (3)公司在從事策略性活動的時候會影響到本身的信用風險嗎？ (4)多角化或非多角化的策略活動對於信用風險影響的程度有所不同嗎？實證結果顯示：策略性活動時機的選擇非常重要，在景氣衰退的尾聲或是開始復甦成長的時候從事擴張性策略性活動，可以為公司帶來較大的管理選擇權價值；我們也發現公司的違約機率和景氣循環呈現負向相關之關係；此外，我們發現如果公司所從事策略性活動能夠創造價值，將有助於公司降低信用風險；最後，我們發現非多角化的策略性活動對於企業信用風險之降低反而較多角化的策略性活動明顯。

This study discusses the relationship between managerial options, cyclicality and credit risk. The research questions are: First, is managerial option value affected by the business cycle? Second, is a firm’s default probability affected by the business cycle? Third, does strategic activity influence a firm’s credit risk? Finally, do focused and diversified strategic activities have different effects on a firm’s credit risk? Our empirical results show that the timing of conducting a strategic activity is important. Expansive activities create value to a firm when they are conducted at the end of a recession period or at the beginning of a growth period. We also find that a firm’s default probability has a negative relationship to the corporate life cycle, and industrial and macroeconomic cyclicality. Moreover, we find that a firm’s credit risk decreases if the strategic activity creates value. Finally, we find that the credit risk mitigation phenomenon of focused mergers is more significant than that of diversified mergers.