我國產業風險乘數因子抵換關係之實證研究

Empirical Research on the Trade-off Relation between Risk Multiplier Factor s in Taiwan

陳育成(Yu-Cheng Chen) ； 薛健宏(Chien-Hung Hsueh)

《台灣管理學刊》 2卷2期 (2002/12) Pp. 51-76

https://doi.org/10.6295/TAMJ.2002.0202.04

摘要

槓桿作用對於系統性風險的影響在文獻上早有定論，但財務槓桿度、營運槓桿度間的關係究竟是相輔相成，還是替代關係，則文獻尚未有一致的看法，過去相關實證研究的焦點，在於兩種槓桿度的衡量模式的評比（尤其營運槓桿），以及控制變數的選取。本研究旨在實證探討營運槓桿、財務槓桿兩種風險因子間之關係。對於槓桿度的衡量，本研究以過去文獻上最廣泛採用的模式；在方法上，修正過去國內實證研究上的缺失，考慮了產業因素、企業成長、風險與信用風險評等等因素，且以「股東權益報酬率」變異數作為風險替代變數，並採企業信用評等作為成長力、整體風險的綜合指標。
基於Li and Henderson(1991)學說，高度成長的公司由於資金需求殷切，且企業創建時期固定成本所佔比重往往較高，因此，營運與財務槓桿間可能同時拉高而呈現正相關。然而Brigham(1988)卻認為，若考慮風險因素，高風險的企業為控制總風險於一定的可容忍範圍，兩種槓桿間應呈現替代的關係。實證結果顯示，在相對上屬於高成長的台灣電子業公司，兩種槓桿度間存在顯著正相關，而食品、紡織業等傳統產業因生命週期特性多屬成熟階段，業界為控制總風險於一定範圍內，因而兩種槓桿間存在相互抵換的關係非常顯著。整體而言，高成長公司兩槓桿呈顯著正相關，而低成長企業呈顯著負相關。測試結果亦顯示，高風險企業財務槓桿、營運槓桿間的抵換關係遠較低風險公司顯著許多。此外，信用評等佳的樣本或許代表著高成長、低風險的屬性，在電子業中，此種屬性的樣本其財務、營運槓桿間呈顯著正相關，而評等差的樣本有相反的結果。
較特殊的是石化業，不論是控制成長、風險或信用評比因素，兩種槓桿間均呈現顯著正向關係，然而綜觀國內石化業現階段之發展，並非處於急速成長階段，而石化業兩種槓桿間所呈現的正向關係，絕非應證Li and Henderson(1991)的推論---在高度成長下，兩槓桿間應有正相關的現象。究竟是什麼原因造成石化業此種現象，有待進一步的驗證。
本研究於估算兩種槓桿作用時，考慮槓桿作用有一定程度的持續效果，槓桿結構的改變是緩慢的，因此分別以3年（12季）及5年（20季）期間估算該期間之平均槓桿效果，有別於以單期資料估算之槓桿度。
此外，本研究估算企業整體風險時，考慮Ryan (1997)的論點，企業風險包括了經營風險、財務槓桿度、營運槓桿度。因此本研究以較能代表企業整體風險的「股東權益報酬率」之變異數作為辨別企業風險的判別因子，與過去研究以銷貨收入等變異數作為風險代理變數之設計有明顯不同。

關鍵字

營業槓桿度 ； 營運槓桿度 ； 財務槓桿度 ； 信用評等

並列摘要

A lot of recent documents address leverage effect on systemaic risk, but don't reach the outcome about relation between operating leverage and financial leverage, which is probably positive relation or trading-off relation. Most of relevant papers focus on comparison among different operating leverage models and choices on control factors. The empirical research tests the relation between operating leverage and financial leverage, which of both are important risk factors. The test makes use of the models adopted in most papers to measure the degrees of leverages, and involves key factors, including industry factor, growth, risk, and Taiwan Company Risk Index (TCRI). Variance of return of equity is considered as proxy variable of risk. Besides, TCRI is adopted as the combined index of growth and overall risk.
Based on Li and Henderson's (1991) theory, high-growing companies need more funds, and the high ratio for fixed cost occurs as establishment. As the result, operating leverage and financial leverage increase at the same time, which leads to the positive relation between two leverages. However, Brigham (1988) affirmed, the trading-off relation between two leverages occurs in the enterprises with high risk, in order to control the whole risk among the accepted limited range. Empirical result shows, compared with other industries, electronic companies in Taiwan grow higher, which leads to the positive relation between two leverages. Most traditional industries, such as food and sewing industries, belong to the adult industries in the life cycle of products, so the industries usually control the whole risk among the limited range, leading to the significant trading-off relation between two leverages. Overall, the positive relation between leverages occurs in high growing enterprises, while the negative relation occurs in low growing companies. In addition, the result also shows, the trading-off relation between operating leverage and financing leverage occurs more in the companies with high risk than those with low risk. Besides, the samples with good ranking imply probably some attributions of high growth and low risk. The empirical result shows, the samples with good ranking in electronic industry lead to significant positive relation between leverages, while the reverse result occurs in the samples with bad ranking.
No matter growth, risk, and TCRI factor are considered, specialty in petrochemistry industry induces to the positive relation between two leverages. However, the petrochemistry industry doesn't continue growing high now, which isn't explained by Li and Hendersons' (1991) theory, contending the positive relation between two leverages in high-growing companies. It's worth researching deeper on the special result.
Considering the persistent effect of leverages with slow change, the research estimates the degrees of leverages with 3 years (12 seasons) period and 5years (20 seasons) period, respectively, which differs from the estimation in the degrees of leverages with the single period.
When estimating the whole risk in enterprises, the research refers to the point of Ryan's (1997) view, the enterprise risk includes operating risk, the degree of financial leverage, and the degree of operating leverage, which leads to variance of the return of equities used to differentiate high risk from low risk in the research. It's different from the recent research using variance of sales, etc. as the proxy variable of risk.

並列關鍵字

Operating Leverage ； Financial Leverage ； Taiwanese Company Risk Index ； TCRI

參考文獻

方凌峰(1997)。財務槓桿與營運槓桿之抵換關係－以日本上市公司為例(碩士論文)。交通大學管理科學研究所。

王麗惠(1989)。公司財務結構對股票系統風險之影響(碩士論文)。中山大學企業管理研究所。

江淑玲(1990)。公司財務流動能力與風險結構關係之研究(碩士論文)。東吳大學會計學研究所。

李先莉(1995)。營運槓桿與財務槓桿抵換之實證研究(碩士論文)。交通大學管理科學研究所。

林洋洲(1990)。台灣股票上市公司營業風險與財務風險之研究(碩士論文)。東吳大學管理學研究所。