Do corporate site visits impact idiosyncratic volatility? Evidence from China

Wenwu Cai, Jing Lu and Yuyang Zhao

Research in International Business and Finance, 2023, vol. 66, issue C

Abstract: Using the Shenzhen Stock Exchange of China data between 2012 and 2022, this study investigates whether and how corporate site visits affect idiosyncratic volatility. We find that corporate site visits are negatively associated with idiosyncratic volatility, and this result is robust to a battery of sensitivity tests. Moreover, the negative effect of site visits on idiosyncratic volatility is more pronounced for firms with lower book-to-market ratios, younger listing ages, and lower analyst coverage. Further, corporate site visits reduce idiosyncratic volatility by improving earnings quality on the information supply side and alleviating heterogeneous beliefs on the information demand side. Finally, corporate site visits mitigate equity mispricing caused by idiosyncratic volatility.

Keywords: Corporate site visits; Idiosyncratic volatility; Earnings quality; Heterogeneous beliefs; Equity mispricing (search for similar items in EconPapers)
JEL-codes: G12 G38 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001186

DOI: 10.1016/j.ribaf.2023.101992

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