Conference Calls and Skewness of Stock Returns

[[abstract]]過去研究指出，以日資料計算個別股票的年度報酬率分配呈現正偏型態，資訊透明度較低的公司正偏程度更明顯。法人說明會屬於自願性資訊揭露管道，能降低公司與股東以及股東之間的資訊不對稱程度，導致股票價格顯著的變化。本文主張經常召開法說會的公司其股票報酬率正偏程度應當會小於不常召開法說會的公司，召開法說會可以提高公司的透明度，資訊透明度較高的公司其經理人的資訊揭露裁量權較小，對於公司價值的資訊揭露也較完整。為檢驗法說會是否對股票報酬率偏態產生影響，選擇台灣證券交易所上市公司為樣本，期間從2006年至2014年。實證結果發現，年度召開法說會與法說會召開次數對於以皮爾森偏態係數衡量之報酬率偏態具有負向影響，這表示法說會有助於抑制經理人的資訊揭露裁量權。[[abstract]]Previous studies find that individual daily stock returns are frequently skewed to the right and the skewness is more positive for firms with less transparent Conference calls are voluntary disclosures and can incorporate the firm-specific information into stock prices and trading activity We argue that the conference calls can improve the firm’s transparency and reduce the degree of managerial discretion over the disclosure of information This paper examines whether conference calls affect the level of positive skewness in stock returns by using a sample of companies listed on the Taiwan Stock Exchange over the period 2006 to 2014 The result shows that annual conference calls and the times of number for the conference calls have a negative effect on stock return skewness measured by the Pearson coefficient of skewness It means that conference calls can reduce the degree of managerial discretion over the disclosure of informatio