本論文主要採用Hansen(2000)所提出之多重狀態模型(multiple regimes model)分析2005年至2013年台灣上市公司無形資產、公司成長與企業風險關係，並進一步選用Pantzalis and Park (2009)超額人力資本指標(Excess Value of Human Capital,  EVHC)，探討不同人力資源投入程度下是否對企業風險有不同的影響。
實證結果顯示多重狀態模型檢測出人力資源與企業風險間，具有上下不對稱之非線性關係。公司規模與公司成長具有門檻效果，在單一門檻效果且門檻變數為公司規模之檢測下，區分大規模與小規模公司區間，發現大規模公司風險與人力資源投入為顯著負相關，大規模公司擁有較多資源優勢與經驗，降低公司成本與人為疏失，進而降低風險。在多重門檻效果且門檻變數為公司規模與公司成長之檢測下，大規模公司區分為高成長與低成長公司區間，規模較大且高成長公司之人力資源投入與公司風險呈現顯著負相關，小規模則無門檻效果；相對於大規模且低成長公司，人力資源投入更能降低企業風險。在大規模且高成長區間下，研發支出為顯著正相關，推論原因為大規模公司應透過併購、投資與購買專利來提升效率、降低成本，增加研發支出投入並不符合效益。而在營運現金流量方面，為顯著正相關，由於公司擁有高現金流量不僅可提高公司償債能力且有能力投資潛力計畫，降低風險。

This dissertation adopts the multiple regimes model to analyze the relations among intangible assets, firm growth and enterprise risk in Taiwan-listed companies from 1998 to 2013. In contrast with previous studies, this dissertation calculates an indicator of human capital’s excess value to examine whether the human resource input difference influences enterprise risk in accordance with Pantzalis and Park (2009). 
The results show that there is a significant asymmetric non-linear relation between human resource and enterprise risk. It is found that firm size and firm growth exhibit a threshold effect with enterprise risk. When firm size was selected the threshold variable with a single threshold effect was used to test the relationship, and the large group could be divided into a high firm growth regime and a low firm growth regime. A large firm regime has a negative significant link between human resource and enterprise risk; a large company owns more advantageous resources and unique experience to reduce costs and humor error which decreases risk. When firm size and firm growth were selected as threshold variables with multiple threshold effects, the large group could be divided into high firm a growth regime and a low firm growth regime. There is a negative significant link between human resource and enterprise risk in large firms with high growth, but the threshold effect does not exist in small firms; human resource input can decrease more risk than in large firms with high growth. Under a large size and high firm growth regime, the research and development expenditure has a significantly positive correlation with risk; our inference is that firms should merge, invest equity, and purchase patents to enhance efficient and reduce cost; higher research and development expenditures do not enhance the benefit assessment. Operating cash flow has a significantly negative correlation with risk; high cash flow is helpful for a firm’s debt-payment ability and increasing cash holdings to invest in potential projects.

ACKNOWLEDGEMENT	                                        I
ABSTRACT IN CHINESE	                                II
ABSTRACT IN ENGLISH	                                III
CONTENTS 	                                        V
LIST OF TABLES	                                        VII
LIST OF FIGURES	                                        VIII
CHAPTER 1 INTRODUCTION	                                1
1.1 Study Process	                                7	
CHAPTER 2 LITERATURE REVIEW	                        8
2.1 Effect of Human Resource on Firm Performance	8	
2.2 Relation between Enterprise Risk 
    and Firm Performance	                        11
2.3 Interactions among Enterprise Risk, 
    Human Resource and Firm Performance	                13
CHAPTER 3 VARIABLES AND METHODOLOGY	                16
3.1 Variable Measurement	                        16
3.1.1 Expected default risk	                        16
3.1.2 Human resource	                                18
3.1.3 Control variables	                                19
3.2 Methodology                                  	22
3.3 Threshold Estimate and Slope Parameters	        26
CHAPTER 4 DATA	                                        28
4.1 Data	                                        28
4.2 Descriptive Statistics	                        29
CHAPTER 5 EMPIRICAL RESULTS AND ANALYSIS	        35
5.1 Pooled Regression Results	                        35
5.2 Threshold Effects	                                38
5.3 Threshold Variable of 
the M/B Ratio in Multiple Regimes	                42
CHAPTER 6 CONCLUSIONS	                                47
REFERENCES	                                        49


LIST OF TABLES
Table 1 Descriptive statistics from relevant variables  31
Table 2 Empirical results from the pooled regression model without the threshold effect 37
Table 3 Test for the threshold effect 39
Table 4 Threshold model for the single threshold variable 41
Table 5 Threshold estimation for a single threshold variable and multiple threshold variables 43
Table 6 Threshold model for multiple threshold variables 46

LIST OF TABLES
Table 1 Descriptive statistics from relevant variables  31
Table 2 Empirical results from the pooled regression model without the threshold effect 37
Table 3 Test for the threshold effect 39
Table 4 Threshold model for the single threshold variable 41
Table 5 Threshold estimation for a single threshold variable and multiple threshold variables 43
Table 6 Threshold model for multiple threshold variables 46

Acharya, V., Davydenko, S.A. and L.A. Strebulaev, (2012), Cash Holding and Credit Risk, Review of Financial Studies, Vol. 25(12), pp. 3572-3609.
Attar, A.A., Hussain S. and L.Y. Zuo, (2008), Earning Equity, Bankruptcy Risk and Future Cash Flows, Accounting and Businesses Research, Vol. 38(1), pp. 5-20.
Baker, M. and J. Wurglar, (2002), Market Timing and Capital Structure, Journal of Finance, Vol. 57(1), pp. 1-32. 
Ballot, G., Fakhfakh, F. and E. Taymaz, (2001), Firm’s Human Capital, R&D and Performance: a Study on French and Swedish Firms, Labour Economics, Vol. 8(4), pp. 443-462.
Batt, R., (2000), Managing Customer Services: Human Resource Practices, Quit Rates, and Sales Growth, Academy of Management Journal, Vol. 45(3), pp. 587-597.
Bhattacharya, P.K. and P.J. Brockwell, (1976), The Minimum of an Additive Process with Applications to Signal Estimation and Storage Theory, Probability Theory and Related Fields, Vol. 37(1), pp. 51-75. 
Billett, M.T., King, T.D. and D.C. Mauer, (2007), Growth Opportunity and the Choice of Leverage, Debt Maturity, and Covenants, Journal of Finance, Vol. 62(2), pp. 697-730.
Bloom, N. and J.V. Reene, (2002), Patents, Real Options, and Firm Performance, Economic Journal, Vol. 112(478), pp. c97-c116.
Bosma, N., Praag, M.V. Thurik, R. and G.D. Wit, (2004), The Value of Human and Social Capital Investment for The Business Performance of Startups, Small Business Economics, Vol. 23(3), pp. 227-236. 
Brown, G. and N. Kapadia, (2007), Firm Specific Risk and Equity Market Development, Journal of Financial Economics, Vol. 84(2), pp. 358-388.
Brown, J.R., Fazzari, S.M. and B.C. Petersen, (2009), Financing Innovation and Growth: Cash Flow, External Equity, and the 1990s R&D Boom, Journal of Finance, Vol. 64(1), pp. 151-185.
Brush, T.H., Bromiley, P. and M. Hendrickx, (2000), The Free Cash Flow Hypothesis for Sales Growth and Firm Performance, Strategic Management Journal, Vol. 21(4), pp. 455-472.
Carpenter, M.A., Sanders, W.G. and H.B. Gregersen, (2001), Bunding Human Capital with Organization Context: The Impact of International Assignment Experience on Multinational Firm Performance and CEO Pay, Academy of Management Journal, Vol. 44(3), pp. 493-511.  
Cheng, M.Y., Lin, J.Y. Hsiao, T.Y. and T.W. Lin, (2010), Invested Resource, Competitive Intellectual Capital, and Corporate Performance, Journal of Intellectual Capital, Vol. 11(4), pp. 433-450.
Coad, A. and R. Rao, (2010), Firm Growth and R&D Expenditure, Economic of Innovation and New Technology, Vol. 19(2), pp. 127-145.
Coff, R.W., (2002), Human Capital, Shared Expertise, and The likelihood of Impasse in Corporate Acquisitions. Journal of Management, Vol. 28(1), pp. 107-128. 
Delios, A. and P.W. Beamish, (2001), Survival and Profitability: The Roles of Experience and Intangible Assets in Foreign Subsidiary Performance, Academy of Management, Vol. 44(5), pp. 1028-1038.
Duffie, D. and J. Pan, (1997), An Overview of Value at Risk, Journal of Derivatives, Vol. 4(3), pp. 7-49. 
Dufour, J.M., (1997), Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models, Econometrica, Vol. 65(6), pp. 1365-1387.
Dushnitsky, G. and M.J. Lenox, (2005), When Do Firms Undertake R&D by Investing in New Ventures, Strategic Management Journal, Vol. 26(10), pp. 947-965. 
Estrada, J., (2001), Systematic Risk in Emerging Market: The D-CAPM, Emerging Markets Quarterly, Vol. 3(4), pp. 365-379.
Fan, J.P.H. and T. J. Wong, (2002), Corporate Ownership Structure and the Informativeness of Accounting Earnings in East Asia, Journal of Accounting and Economics, Vol. 33(3), pp. 401-425.
Gimeno, J., Folta, T.B. Cooper, A.C. and C.Y. Woo, (1997), Survival of Fittest? Entrepreneurial Human Capital and the Persistence of Underperformance Firms, Administrative Science Quarterly, Vol. 42(4), pp. 750-783. 
Goh, P.C., (2005), Intellectual Capital Performance of Commercial Banks in Malaysian, Journal of Intellectual Capital, Vol. 6(3), pp. 385-396.
Guest, D.E., (2010), Human Resource Management and Performance: Still Searching for Some Answers, Human Resource Management Journal, Vol. 21(1), pp. 3-13.
Hansen, B.E., (1999), Threshold Effects in Non-Dynamic Panels: Estimation, Testing, and Inference, Journal of Econometrics, Vol. 93(2), pp. 345-368. 
Hansen, B.E., (2000), Sample Splitting and Threshold Estimation, Econometrica, Vol. 68(3), pp. 575-603.
Harris, R. and J. Moffat, (2013), Intangible Assets, Absorbing Knowledge and its Impact on Firm Performance: Theory, Measurement and Policy Implication, Contemporary Social Science, Vol. 8(3), pp. 346-361.
Haw, I.M., Qi, D. and W. Wu, (2001), The Nature of Information in Accruals and Cash Flows in an Emerging Capital Market: The Case of China, International Journal of Accounting, Vol. 36(4), pp. 391-406. 
Hayton, J.C., (2003), Strategic Human Capital Management in SMEs: An Empirical Study of Entrepreneurial Performance, Human Resource Management, Vol. 42(4), pp. 375-391.
Hirshleifer, D., (2001), Investor Psychology and Asset Pricing, Journal of Finance, Vol. 56(4), pp. 1533-1597.
Hitt, M.A., Bierman, L. Shimizu, K. and R. Kochhar, (2001), Direct and Moderating Effects of Human Capital on Strategic and Performance in Professional Service Firms: A Resource-Based Perspective, Academy of Management Journal, Vol. 44(1), pp. 13-28.
Huselid, M.A. and B.E. Becker, (2000), Comment on Measurement Error in Research on Human Resource and Firm Performance: How Much Error Is There and How Does it Influence Effect Size Estimates? Personnel Psychology, Vol. 53(4), pp. 835-854.  
Huselid, M.A., Jackson, S.E. and R.S. Schuler, (1997), Technical and Strategic Human Resource Management Effectiveness as Determinants of Firm Performance, Academy of Management Journal, Vol. 40(1), pp. 171-188. 
Hoyt, R.E. and A.P. Liebengberg, (2011), The Value of Enterprise Risk Management, Journal of Risk and Insurance, Vol. 78(4), pp. 795-822.	
Iragorri, C.C. and S. Ferrari, (2010), Measuring the Systemic Importance of Financial Institutions Using Market Information, Financial Stability Review, Vol. 8(1), pp. 127-141.
Johnson, S., Boone, P. Breach, A. and E. Friedman, (2000), Corporate Governance in the Asian Financial Crisis, Journal of Financial Economics, Vol. 58(1-2), pp. 141-186. 
Kalcheva, I. and K.V. Lins, (2007), International Evidence on Cash Holding and Expected Managerial Agency Problems, Reviews of Financial Studies, Vol. 20(4), pp. 1087-1112. 
Kang, K.H., Lee, S. Choi, K. and K. Lee, (2012), Geographical Diversification, Risk and Firm Performance of US Casinos, Tourism Geographies: An International Journal of Tourism Space, Place and Environment, Vol. 14(1), pp. 117-146.
Kini, O. and R. Williams, (2012), Tournament Incentives, Firm Risk, and Corporate Policies, Journal of Financial Economics, Vol. 103(2), pp. 350-376.
Lakonishok, J. and A.C. shapiro, (1986), System Risk, Total Risk and Size As Determinants of Stock Market Returns, Journal of Banking & Finance, Vol. 10(1), pp. 115-132.
Lepak, D.P. and S.A. Snell, (2002), Examining the Human Resource Architecture: The Relationships Among Human capital, Employment, and Human Resource Configurations, Journal of Management, Vol. 28(4), pp. 517-543. 
Leuz, C., Nanda, D. and P. D. Wysocki, (2003), Earnings Management and Investor Protection: An International Comparison, Journal of Financial Economics, Vol. 69 (3), pp. 505-527.
Lev, B., (2001), Intangibles: Management, Mwasurement, and Reporting, Washington D.C.: Brooking Institution.
Liu, S.J. and J. Shyu, (2004), Strategic Planning for technology development with patent analysis, International Journal of Technology and Management, Vol. 13(5-6), pp. 661-680.
Lu, J.W. and P.W. Beamish, (2004), International Diversification and Firm Performance: The S-curve Hypothesis, Academy of Management Journal, Vol. 47(4), pp. 598-609.
Mavridis, D.G., (2004), The Intellectual Capital Performance of the Japanese Banking Sector, Journal of Intellectual Capital, Vol. 5(1), pp. 92-115.
Mcshane, M.K., Nair, A. and E. Rustambekov, (2011), Does Enterprise Risk Management Increase Firm Value, Journal of Accounting, Vol. 26(4), pp. 641-658.
Naoki, S., (2012), Firm Cash Holding and Performance: Evidence from Japanese Corporate Finance, Research Institute of Economy, Trade and Industry (RIETI), Discussion Paper Series 12-E-031.
Noni, I.D., Orsi, L. and L. Pilotti, (2010), Evaluating Enterprise Risk in a Complex Environment, Journal of Service Science and Management, Vol. 3(03), pp. 352-362.
Oderda, G., Dacorogna, M.M. and T. Jung, (2003), Credit Risk Model-Do They Deliver Their Promises? A Quantitative Assessment, Economic Notes, Vol. 32(2), pp. 177-195.
Pagach, D.P. and R.S. Warr, (2010), The Effect of Enterprise Risk Management on Firm Performance, North Carolina State University Working Paper.
Palazzo, B., (2012), Cash Holding, Risk, and Expected Returns, Journal of Financial Economics, Vol. 104(1), pp. 162-185.   
Pantzalis, C. and J. C. Park, (2009), Equity Market Valuation of Human Capital and Stock Returns, Journal of Banking and Finance, Vol. 33(9), pp. 1610-1623.
Penman, S. and F. Reggiani, (2013), Returns to Buying Earnings and Book Value: Accounting for Growth and Risk, Reviews of Accounting Studies, Vol. 18(4), pp. 1021-1049.  
Philips, G.M and A. Zhdanov, (2012), R&D and the Incentives from Merger and Acquisition Activity, Review of Financial Studies, Vol. 26(1), pp. 34-78. 
Podobnik, B., Horvatic, D., Petersen, A.M., and H.E., Stanley, (2009), Quantitative Relations between Risk, Return and Firm Size, Europhysics Letters, Vol. 85(5), pp. 1-5.
Psillaki, M., Tsolas L.E. and D. Margaritis, (2010), Evaluation of Credit Risk Based on Firm Performance, Vol. 201(3), pp. 873-881.
Quon, T.K., Zeghal, D. and M. Maingot, (2012), Enterprise Risk Management and Firm Performance, World Conference on Business, Economics and Management, Vol. 62(24), pp. 263-267.
Singla, C., Veliyath, R. and R. George, (2014), Family Firms and Internationalization-Governance Relationships: Evidence of Secondary Agency Issues, Strategic Management Journal, Vol. 35(4), pp. 606-616.     
Skaggs, B.C. and M. Youndt, (2004), Strategic Positioning, Human Capital, and Performance in Service Organization Performances: A Customer Interaction Approach, Strategic Management Journal, Vol. 25(1), pp. 85-99. 
Sherer, P.D., (1995), Leverage Human Assets in Law Firms: Human Capital Structures and Organizational Capabilities, Industrial and Labor Relations Review, Vol. 48(4), pp. 671-691. 
Soininen, J., Martikainen M. Puumalainen, K. and K. Kylaheiko, (2012), Entrepreneurial Orientation: Growth and Profitability of Finish Small- and Medium- Sized Enterprises, International Journal of Production Economics, Vol. 140(2), pp. 614-621.
Tubbs, M., (2007), The Relationship Between R&D and Company Performance, Research-Technology Management, Vol. 50(6), pp. 23-30.
Vassalou, M. and Y. Xing, (2004), Default Risk in Equity Returns, Journal of Finance, Vol. 59(2), pp. 831-868.  
Wu, S.H. and F.B. Hsu, (2001), Towards a Knowledge-Based View of OEM Relationship Building: Sharing of Industrial Experiences in Taiwan, International Journal of Technology Management, Vol. 22(5-6), pp. 503-524. 
Youndt, M.A. and S.A. Snell, (2004), Human Resource Configuration, Intellectual Capital, and Organizational Performance, Journal of Managerial Issues, Vol. 16(3), pp. 337-360.
Zeghal, D. and A. Maaloul, (2010), Analysing Value Added as an Indicator of Intellectual Capital and Its Consequences on Company Performance, Journal of Intellectual Capital, Vol.11(1), pp. 39-60.
Zeitun, R., Tian, G. and Keen, K. (2007), Default Probability for the Jordanian Companies: a Test of Cash Flow Theory, International Research Journal of Finance and Economics, Vol. 8, 147-162.