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Site visit information content and return predictability: Evidence from China

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  • Dong, Dayong
  • Yue, Sishi
  • Cao, Jiawei

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.

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  • Dong, Dayong & Yue, Sishi & Cao, Jiawei, 2020. "Site visit information content and return predictability: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    • Handle: RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304280
    DOI: 10.1016/j.najef.2019.101104
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    More about this item

    Keywords

    Institutional investors; Site visit content; Return predictability; Chinese stock market;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G40 - Financial Economics - - Behavioral Finance - - - General

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