Institutional Investor Conference Calls and Information Diffusion Effect

法人說明會與資訊擴散效果

10.6545/JFS.2017.25(3).3

王育偉(Yu-Wei Wang)；鄭揚耀(Lee-Young Cheng)；張椿柏(Chun-Po Chang)

Institutional investor conference call ； information diffusion effect ； lead-lag effect ； information environment ； 法人說明會 ； 資訊擴散效果 ； 領導落後效果 ； 資訊環境

財務金融學刊

25卷3期（2017 / 09 / 30）

91 - 124

英文

This paper explores the effects of information diffusion by investigating a sample of firms that voluntarily held institutional investor conference calls (IICCs) between 2004 and 2011. The empirical results reveal a positive correlation between the abnormal returns of IICCs and average industry returns, indicating that IICCs exhibit information diffusion effects and diffuse asymmetry. Moreover, the information environment (IE) of firms plays a critical role in information dissemination. For firms with an IE that is more conducive for information dissemination, the effects of information diffusion are enhanced. Firms with high information asymmetry have strong information diffusion effects.

本研究蒐集2004至2011年召開法說會樣本，探討法說會資訊擴散效果，實證發現公司召開法說會當週股價累積異常報酬率與產業平均報酬率呈現顯著正相關，支持法說會資訊具有擴散效果且傳遞不對稱。此外，本研究也發現資訊環境扮演重要角色，當公司處在較佳資訊環境將增加資訊擴散效果，而且資訊不對稱較大公司的資訊擴散更為強烈。

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