Investor Corporate Visits and Expected Returns

44 Pages Posted: 8 Jan 2021 Last revised: 19 Dec 2023

See all articles by Eric C. So

Eric C. So

Massachusetts Institute of Technology (MIT) - Sloan School of Management

Rongfei Wang

China Investment Corporation (CIC)

Ran Zhang

Renmin University of China - School of Business

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

So, Eric C. and Wang, Rongfei and Zhang, Ran, Investor Corporate Visits and Expected Returns (July 2023). Available at SSRN: https://ssrn.com/abstract=3751468 or http://dx.doi.org/10.2139/ssrn.3751468

Eric C. So (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

Rongfei Wang

China Investment Corporation (CIC) ( email )

New Poly Plaza, No.1
Chaoyangmen Beidajie
Beijing, Dongcheng 100010
China

Ran Zhang

Renmin University of China - School of Business ( email )

Beijing
China

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
857
Abstract Views
3,227
Rank
53,352
PlumX Metrics