組織資本對流動性風險之影響

Abstract

組織資本是企業的無形資產，是一種能將人力技術、實質資本妥善整合的知識，是一種關鍵資源與技術之私有資訊的累積與應用，使得企業能夠更有效的生產、提供附加價值的產品與服務，並為企業創造持續的競爭優勢。本研究欲探究組織資本對流動性風險之影響，本研究推測組織資本影響流動性的途徑有二，其一為安全投資轉移效果，其二為股價資訊回饋效果，基於組織資本對於公司營運上影響，本研究想探究市場投資人是否掌握到組織資本對公司影響的特性，進而透過安全投資轉移與股價資訊回饋效果來影響公司股票之流動性風險，此外本研究欲探究在危機時期下，組織資本對於流動性風險的影響。 本研究以北美市場為研究範疇，研究期間為1990年年初到2014年年底，透過篩選後有16大產業，共2,786家公司來進行探討。根據研究結果顯示，組織資本能夠降低公司股票流動性的波動度，特別在危機時期下會交互影響而降低公司股票流動性，在市場報酬波動時，組織資本能夠有效的維持一定的流動性水準，不會隨著市場報酬波動而對個股流動性產生劇烈影響。然而組織資本也能降低公司面臨不流動性事件的機率，且在市場流動性波動時，維持一定的流動性水準，但根據研究結果顯示其影響效果較不顯著，此外在危機時期時，流動性偏態係數、個股流動性與市場流動性的共變異，與個股流動性與市場報酬較不會受到組織資本與危機時期的交互影響。

Organizational capital is a kind of intangible assets. It’s the unique structural, organizational designs and business processes of a firm, which is used to combine human skills and physical capital properly into systems for producing and delivering products. It can enhance production efficiency and generate sustainable competitive advantages. We assume that there are two ways that organization capital might affect liquidity risk. One is the effect of flight to quality and the other is the effect of stock price feedback. We want to explore whether investors have captured the characteristic of organization capital and whether organization capital affects liquidity risk. In addition, we want to find out the effects of organization capital on liquidity risk during the crisis period. The sample used in this study consists of 2,786 North American companies (without finance companies) traded in NYSE, AMEX and NASDAQ from 1990 to 2014. Our findings are as follows: Organization capital can reduce the variability of liquidity and there exists interaction effect of organization capital and crisis year on variability of liquidity. Organization capital can also reduce the covariability of firm-level liquidity with market returns. However, the effects of organization capital reducing the frequencies of extreme illiquidity events and the covariability of firm-level liquidity with market liquidity are not significant. In addition, there are no interaction effect of organization capital and crisis year on the frequencies of extreme illiquidity events, the covariability of firm-level liquidity with market liquidity and the covariability of firm-level liquidity with market returns.