本研究探討於國際資訊電子品牌廠與台灣電子業代工廠合作關係日趨緊密的特性下，品牌廠股票報酬對其代工廠股票報酬是否具有預測能力，及持有代工廠股權的機構投資人其交易行為與代工廠客戶股票報酬之關聯性。實證結果顯示，品牌廠前期股票報酬對其代工廠本期股票報酬具有預測能力，且品牌廠股票報酬表現好(差)時，機構投資人會在同期增加(減少)對其代工廠的持股，而機構投資人利用供應鏈股票報酬預測能力所擬定的投資策略的確能有較佳的獲利表現;此即意謂著投資者可藉由觀察代工廠機構投資人的持股變動或國外品牌廠股票報酬的表現，以增減其對國內代工廠的持股。

Nowadays, brand name companies, also called originalequipment manufactures (OEMs), outsource a major part of their production to Taiwan contract manufacturers. This outsourcing strategy forms a strong supply chain
relationship between brand name companies and their Taiwan suppliers. By using the global supply chain relationship, this study tries to explore whether the return predictability exists along the global supply chain and examines whether institutional investors are adept at exploiting this return predictability.
Consistent with prediction, I find that the stock return of brand name companies cross-predicts the stock return of their Taiwan suppliers. In addition, the changes of institutional ownership in Taiwan suppliers are simultaneously and positively related to stock return performance of brand name companies, indicating that institutional investors are adept at exploiting this return predictability. Finally, I find that institutional investors indeed engage in trading strategies that profit from the cross-predictability effect in price. This suggests that investors can mirror the institutional investors’ trading behavior or observe the return performance of brand name companies to buy or sell their suppliers’ stocks.

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