Supply Chain Risk and Resolution: An Empirical Study of Stock Market Reactions
研究了财报电话会议中供应链风险与化解的披露如何影响公司股票回报，发现高风险降低回报，而化解披露能缓解负面效应，对投资者和管理者评估供应链风险有参考价值。
Firms are exposed to varying levels of supply chain risk and engage in efforts to resolve such risk. This paper examines how disclosures of supply chain risk and resolution during earnings calls affect firms’ stock returns. Using natural language processing, we develop measures of supply chain risk and resolution from quarterly earnings call transcripts for a total of 129,981 firm-quarter observations between 2008 and 2019. We find that higher levels of supply chain risk are associated with lower stock returns around earnings calls, while disclosures of supply chain risk resolution attenuate these negative effects. In particular, stock returns of firms in the highest supply chain risk quintile are 1.07% lower compared to the stock returns of firms in the lowest quintile, and regression analyses indicate that a one-standard-deviation increase in supply chain risk is associated with a 0.56% decline in stock returns. The stock returns of firms in the highest supply chain risk resolution quintile are 0.12% higher compared to the stock returns of firms in the lowest quintile. A one-standard-deviation increase in resolution increases stock returns by 0.08%, and to 0.29% for the subsample of observations where the resolution measure is positive. Exploratory analyses indicate that the effect of supply chain risk on stock returns is significantly greater for smaller firms than for larger firms. In addition, when there is evidence that larger firms’ resolution-related statements are mere rhetoric, the effect of resolution on stock returns is diminished.