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Seemingly manipulated anomaly: Evidence from corporate site visits

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  • Yang, Jinyu
  • Dong, Dayong
  • Cao, Jiawei

Abstract

We find that the stock prices of some firms are suspected to be manipulated by the market in the CSV disclosure event scenario. An anomaly in the daily cumulative abnormal returns (CARs) of these “suspicious” CSVs is documented. Around the suspicious CSVs, the CAR trending upward (downward) one month before the event day, temporarily declining (increasing) on the event day, and then trending upward (downward) one year after the event day. We refer to this seemingly manipulated anomaly as the CSV manipulative effect. Based on a unique data set of CSVs to listed firms in China, we obtain the following main findings. First, the CSV manipulative effect is not caused by other company announcements disclosed around the CSV event date, and the probability of manipulative effect brought by CSVs is significantly greater than that brought by other company announcements. Second, factors related to market manipulation significantly affect the CSV manipulative effect. Third, we construct a machine learning model to detect the CSV manipulative effect and find that it is capable of detecting this effect. Fourth, the portfolio constructed by the CSV manipulative effect performs better than the portfolio constructed by the momentum or reversal effect.

Suggested Citation

  • Yang, Jinyu & Dong, Dayong & Cao, Jiawei, 2024. "Seemingly manipulated anomaly: Evidence from corporate site visits," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    • Handle: RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001104
    DOI: 10.1016/j.najef.2024.102185
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    More about this item

    Keywords

    Anomaly; Corporate site visits; Manipulative effect;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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