ABSTRACT

Systematic risk is the degree to which a firm is sensitive to changes in the overall economy. It is a core concept in finance theory, and is an important measure of firm performance. While much research has looked at the relationship between IT and direct risk measures such as earnings volatility, research is lacking on this core outcome. Additionally, we know from prior research that impacts from IT can change over time. Therefore, we examine the association between information technology and systematic risk over time. We investigate this association using a sample of 2,417 firm-years from 659 unique firms over the years 2003-2007. We find that increased levels of IT intensity are associated with greater systematic risk contemporaneously but result in significant reductions in systematic risk associated with three- and four- year lagged effects. We propose that this occurs due to intangible capital formation and increased flexibility.

摘要

系统性风险是企业对整体经济变化的敏感程度。它是金融理论的核心概念，是衡量企业绩效的重要指标。虽然很多研究都关注 IT 与收益波动等直接风险指标之间的关系，但缺乏对这一核心结果的研究。此外，我们从先前的研究中了解到，IT 的影响会随着时间而改变。因此，我们研究了信息技术与系统风险之间的关系。我们使用 2003-2007 年间来自 659 家独特公司的 2,417 个公司年样本来调查这种关联。我们发现，IT 强度水平的提高同时与更大的系统风险相关，但会导致与三年和四年滞后效应相关的系统风险显着降低。