Managerial integrity and stock returns

Mo Yang, Jiawei Cao, Yifan Meng and Hao Gong

The North American Journal of Economics and Finance, 2025, vol. 78, issue C

Abstract: This study creates a monthly managerial integrity index (MII) by analyzing managers’ responses in information disclosure during site visits, and assesses its effectiveness in predicting returns. The empirical results indicate that a higher MII significantly predicts a lower Chinese A-share market return in the next month, with in-sample and out-of-sample R2s of 4.0133 % and 4.5714 %, respectively. This conclusion remains consistent after conducting various robustness tests. Additionally, the study reveals that managerial integrity influences stock market returns by boosting trading activity and reducing the liquidity premium.

Keywords: Managerial integrity; Site visit; Return predictability; Liquidity premium (search for similar items in EconPapers)
JEL-codes: G11 G12 G17 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000762

DOI: 10.1016/j.najef.2025.102436

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