Using statistical and neural network methods to explore the relationship between systematic risk and firm's long term investment activities

Kehluh Wang*, Hsiao-Tien Pao, H. C. Fu

*Corresponding author for this work

研究成果: Paper

1 引文 斯高帕斯(Scopus)

摘要

This paper presents a neural network method to explore the relationship between the systematic risk and the long term investing activities for Taiwan's companies in the fiber industry and in the electronics industry. In general, diversification from long-term investment may reduce firm's systematic risk, but the empirical results in some literatures are controversial. For years regression methods have been used to analyze the possible impact of long-term investment activities on systematic risk. Since their relationship may not be linear, we thus propose a neural network based sensitivity analysis for the possible non-linear relationships. We adapt 5 years data (1994-1998) from the TEJ financial database to conduct the proposed 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 long-term investment ratio. The difference is even more significant when we only consider the companies with higher portion of long term investment in assets. This diverse effect between industries may be one of the reasons why the empirical results are inconsistent. Our study can clarify the controversial between the systematic risk and the long-term investment activities, and offer some possible explanations.

原文English
頁面851-858
頁數8
DOIs
出版狀態Published - 1 十二月 2000
事件10th IEEE Workshop on Neural Network for Signal Processing (NNSP2000) - Sydney, Australia
持續時間: 11 十二月 200013 十二月 2000

Conference

Conference10th IEEE Workshop on Neural Network for Signal Processing (NNSP2000)
城市Sydney, Australia
期間11/12/0013/12/00

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  • 引用此

    Wang, K., Pao, H-T., & Fu, H. C. (2000). Using statistical and neural network methods to explore the relationship between systematic risk and firm's long term investment activities. 851-858. 論文發表於 10th IEEE Workshop on Neural Network for Signal Processing (NNSP2000), Sydney, Australia, . https://doi.org/10.1109/NNSP.2000.890165