Does investors' site visits improve the capital market pricing efficiency?

Nian Li; Runsen Yuan; Muhammad Asif Khan; Xiaofeng Yang; Nosherwan Khaliq; Xi Zhang

doi:10.1016/j.heliyon.2023.e19100

Does investors' site visits improve the capital market pricing efficiency?

Heliyon. 2023 Aug 15;9(9):e19100. doi: 10.1016/j.heliyon.2023.e19100. eCollection 2023 Sep.

Authors

Nian Li¹, Runsen Yuan¹, Muhammad Asif Khan², Xiaofeng Yang¹, Nosherwan Khaliq¹, Xi Zhang³

Affiliations

¹ School of Economics and Management, Yanshan University, 066004, Qinhuangdao, Heibei Province, China.
² Department of Commerce, University of Kotli AJK, Pakistan.
³ School of Accounting, Dongbei University of Finance and Economics, Dalian, China.

Abstract

This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock price synchronicity, indicating improved pricing efficiency of the capital market. (2) The mechanisms tests showed that: investors could obtain private incremental information through site visits. (3) The conclusions remained intact after robust tests, including alternative key variables, samples and specifications, and various endogenous treatments. (4) Investors added arbitrage trading behavior after the site visit without significantly impounding industry-level information into the stock price. This paper enriched the knowledge of how site visits of different investment entities affect capital market pricing efficiency.

Keywords: Capital market pricing efficiency; Incremental information; Site visits; Stock price synchronicity.