Investor Corporate Visits and Expected Returns
44 Pages Posted: 8 Jan 2021 Last revised: 19 Dec 2023
Date Written: July 2023
Abstract
Using a unique dataset of listed firms on China’s Shenzhen Stock Exchange, we show that investors’ corporate site visits convey information about expected returns. Investors frequently travel to meet in-person with firms before investing, and we find that firms with abnormally frequent investor visits predictably outperform firms with abnormally infrequent investor visits by approximately 70-to-100 basis points per month. This return predictability doubles for neglected firms with low trading volumes. Abnormally frequent investor visits accompany increased holdings among visiting institutions and predict improvements in firms’ fundamental performance, consistent with institutions using visits to gain an information advantage regarding underpriced firms.
Keywords: Investor corporate visits , Information arbitrage, Expected returns, Return predictability
JEL Classification: G10, G11, G12, G14, M40, M41
Suggested Citation: Suggested Citation