| Summary: | 碩士 === 國立成功大學 === 會計學系碩博士班 === 97 === In this paper, I test the cross-predictability of returns between foreign brand-name firms and their Taiwan suppliers. Due to the uninformed investors, informative signals of foreign brand-name firms are not immediately incorporated into stock returns of Taiwan suppliers, generating cross-predictability of returns. Hence trading strategies based on the cross-predictability effects can yield excess returns.
In addition, I analyze whether insider ownership of Taiwan suppliers mitigates the cross-predictability of returns between foreign brand-name firms and their Taiwan suppliers. I find that magnitude of return cross-predictability does not decline with the insider ownership of Taiwan suppliers, and the change in the insider ownership of Taiwan suppliers is not related to contemporaneous change in the insider ownership of foreign brand-name firms, indicating insiders of Taiwan suppliers are not informed investors in the global supply chain.
|
|---|
