臺大管理論叢 NTU Management Review VOL.26 NO.3

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法人說明會資訊在供應鏈中之垂直資訊移轉效果：以台灣之半導體產業供應鏈為例
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We examine the market reactions to information contained in conference calls held by
other firms among supply chain firms. CAR is used to measure the market reactions
surrounding the call.
The following three models are established:
CARj,(m,n) = α + β1ΔOIi,t + β2MBj,t-1 + β3SIZEj,t-1 + β 4LEVj,t-1 + β 5ROA j,t-1 + εj,t (1)
CARj,(m,n) = α + β 1ΔOIi,t + β2TEXTi,t + β3MBj,t-1 + β4 SIZEj,t-1 + β5LEVj,t-1 + β6ROAj,t-1 + εj,t (2)
CAR j,(m,n) = α + β1ΔOIi,t + β2TEXTi,t + β3 LEVELij + β4MBj,t-1 + β5SIZEj,t-1 + β6LEVj,t-1 +
β7ROAj,t-1 + εj,t (3)
CARj,(m,n) is the cumulative abnormal return around event day (m,n). ΔOIi,t is the expected
growth rate of the operating income for period t disclosed in the conference call held by firm
i. MBj,t-1 is growth opportunity and is estimated by last year’s market to book ratio. The
variable SIZEj,t-1 is firm size and is measured by log of market value of equity. LEVj,t-1 is
financial leverage. ROAj,t -1 is the profitability of the firm and is measured by return on assets
in the beginning of the period. TEXT i,t is the nonfinancial information disclosed in the
conference call. LEVEL ij is a dummy variable that equals to 1 if the echelon distance is
relatively farther (upstream firms-downstream firms) and 0 if otherwise (upstream firms-
middle stream firms, and middle stream firms-downstream firms).
3. Findings
Our empirical results can be summarized as follows. First of all, we find that firms’
CAR surrounding the event day of conference calls held by their upstream firms are
positively associated with the unexpected earnings forecasts for upstream firms.
Secondly, we find similar results for nonfinancial information contained in conference
calls held by upstream firms. In addition, we find that nonfinancial information in conference
calls held by upstream firms conveys incremental information beyond financial information
with respect to the assessment of firm value. Thirdly, we further find that the CAR is
positively related to the echelon distance between a firm and its upstream firms. Finally, the
results indicate that financial information contained in conference calls held by upstream
firms is more informative than nonfinancial information as the echelon distance between the
two firms along the supply chain becomes greater.