本研究主要是探討法人說明會在不同規模市場的影響程度，利用事件研究法，配合法人說明會召開頻率進行股價反應之分析。本研究發現：大型股召開法人說明會的頻率高於中型股以及小型股，而電子股召開法人說明會的頻率高於非電子股。法人說明會召開頻率越高與基本面連結程度越高，而法人說明會召開頻率越低，資訊不對稱程度越高。以法人說明會的訊息分析，法人說明會是利多的情境下，股價的累積異常報酬率會在事件日前10日開始上漲，而在事件日之後便會緩步走跌陷入盤整，此情境符合所謂利多出盡，而小型股以及中型股的累積超額報酬率漲幅高於大型股；法人說明會是利空的情境下，股價的累積異常報酬率在事件日前10天開始下跌，而在事件日後反彈至平盤附近後就陷入盤整，此情境符合利空出盡，小型股的累積超額報酬率跌幅高於大型股以及中型股。;This study explores the impact of Earnings Call on stock price of companied listed on the Taiwan Stock Exchange. Sample firms are categorized into three groups - large, medium and small sizes and the event study is utilized. The findings show that large-cap stocks hold Earnings Call more frequently than mid-cap and small-cap stocks and electronic stocks hold Earnings Call more frequently than non-electronic ones. Based on the information announced in the Earnings Call, under the bullish situation, the cumulative abnormal rate of return (CAR) of the sample firms started to rise 10 days before the event date, and slowly fall into consolidation after the event date. While under the bear scenario, the CAR began to fall 10 days before the event date, and then rebounded to near the flat price after the event date and then fell into consolidation. Finally, the decline in returns for small-cap stocks was higher than that of large-cap and mid-cap stocks.
