Since early 1999, there were some listed companies in Taiwan suffering severe financial crisis due to long-term investment activities. The purpose of this study is to explore the relationship between the systematic risk and the long term investing activities for companies in the fiber industry and in the electronics industry. Diversification from investment may reduce the systematic risk, but the empirical results are controversial. We use 5 years data (1994-1998) from the TEJ financial database and conduct the pooled time series cross section regression analysis and neural network sensitivity 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 investment. The difference is even more significant when we only consider the companies with higher investment ratios. This diverse effect between industries may be one of the reasons why the results in the literature are inconsistent. Our study can clarify the relationship between the systematic risk and the diversified investment activities, and offer some possible explanations.