Site visit information content and return predictability: Evidence from China

Dayong Dong, Sishi Yue and Jiawei Cao

The North American Journal of Economics and Finance, 2020, vol. 51, issue C

Abstract: In this paper, we use frequency of related phrases in site visit summary reports to denote the site visit content, and study whether site visit content reflecting institutional investors’ market concerns can predict Chinese stock market return. We find that site visit content has greater forecasting power in Chinese stock market returns than other economic predictors after comparing out-of-sample R2. The predictability is both statistically and economically significant. Additionally, our results also suggest that the particular information content has better forecasting power than general content in site visit summary reports.

Keywords: Institutional investors; Site visit content; Return predictability; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G11 G17 G40 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280

DOI: 10.1016/j.najef.2019.101104

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