Conference Calls and Skewness of Stock Returns

• Main Authors: Pei-Yun Zhou, 周佩芸
• Other Authors: Horace Chueh
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/04140504410412383983

碩士 === 國立高雄第一科技大學 === 金融系碩士班 === 105 === 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 information.