本研究以台灣代工廠商與國外品牌廠商之跨國供應鏈關係為例，探討品牌廠股票報酬對其代工廠股票報酬是否具有預測能力。由於市場上不是所有投資者都是消息靈通者，使代工廠股票報酬未能在品牌廠股票報酬變動的同期立即反應，導致品牌廠與代工廠的股票報酬率呈前後期關聯，產生供應鏈間股票報酬橫斷面之預測能力，本研究發現若能藉此供應鏈特性衍生投資策略將能獲得異常報酬。
此外，本研究進一步分析，代工廠內部人持股對供應鏈股票報酬預測能力的影響，發現當代工廠內部人持股比率較高時，並無法降低供應鏈間股票報酬的預測能力，且代工廠內部人與品牌廠內部人之股權交易行為不具有關聯性，顯示樣本中代工廠內部人於跨國供應鏈資訊的取得上非為消息靈通投資者。

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.

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