投資彈性與違約風險

Abstract

本研究旨在探討企業的投資彈性（Investment Flexibility）如何影響違約風險，並進一步分析高股權報酬率企業是否會因具備高投資彈性而增加違約風險，特別是在1995-2001年的網路泡沫（dot-com bubble）前後期間。研究採用1991-2023年美國非金融業上市公司之季資料，運用違約距離（Distance to Default）作為主要的信用風險衡量工具。

實證結果顯示，整體樣本期間內，投資彈性越高的企業，其違約風險顯著提升。此外，在網路泡沫期間，市場資金充裕且投資人樂觀情緒高漲，使得高股權報酬率與高投資彈性的企業風險特別明顯增加；而在泡沫破裂後，該效應明顯收斂。進一步產業分組分析發現，對於消費、批發零售等低資本密集產業，投資彈性提高明顯增加違約風險，而製造業、能源、高科技等高資本密集產業的違約風險則相對不顯著，主要因為這些產業的資本投資本身即為營運常態，並非額外風險來源。

研究結論支持「投資彈性」與「高股權報酬率」的交互作用會顯著增加企業的違約風險，特別是在市場樂觀期間。此外，透過改變信用風險衡量指標為違約機率（Probability of Default），亦得到了穩健的結果。本研究成果有助於企業與投資人理解投資彈性如何影響信用風險，並提供實務上的管理與政策建議。

This study examines how investment flexibility affects corporate default risk and further investigates whether companies with high equity returns experience increased default risk due to high investment flexibility, particularly around the dot-com bubble period (1995-2001). Using quarterly data from 1991 to 2023 for non-financial publicly listed companies in the United States, this research employs Distance to Default (DtD) as the primary measure of credit risk.

Empirical results indicate that firms with higher investment flexibility significantly exhibit increased default risk across the entire study period. Specifically, during the dot-com bubble era, abundant capital supply and investor optimism heightened the risk among companies characterized by high equity returns coupled with high investment flexibility. After the bubble burst, this risk amplification markedly diminished. Industry-specific analyses revealed that increased investment flexibility notably raised default risks in less capital-intensive sectors such as consumer goods and wholesale retail, whereas industries such as manufacturing, energy, and high-tech demonstrated insignificant effects due to inherent capital investment structures.

The findings support the hypothesis that the interaction of "investment flexibility" and "high equity returns" substantially elevates corporate default risk, especially during optimistic market periods. Robustness tests using Probability of Default (PD) as an alternative credit risk measure confirmed these results. This research provides valuable insights for businesses and investors regarding how investment flexibility influences credit risk, offering practical management and policy implications.