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Uncovering the information content in abnormal institutional visits

Author

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  • Chang, Danting
  • Li, Feng

Abstract

We uncover the information contained in institutional investors’ collective corporate visit behaviors, which is incremental to their private information privileges. Abnormal institutional visit (AIV) significantly predicts cross-sectional stock returns in a positive direction, consistent with the hypothesis that given short-sale constraints and limited resources, institutions systematically allocate more visit efforts to firms that they deem to have promising prospects. Moreover, such information is yet not effectively reflected in analyst forecasts until firms officially announce the earnings, suggesting limitations in the role played by sell-side analysts as intermediaries to convey information to the market.

Suggested Citation

  • Chang, Danting & Li, Feng, 2023. "Uncovering the information content in abnormal institutional visits," Finance Research Letters, Elsevier, vol. 55(PB).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003604
    DOI: 10.1016/j.frl.2023.103988
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    References listed on IDEAS

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    More about this item

    Keywords

    Corporate visit; Information acquisition; Institutional investors; Analyst forecasts; Earnings announcements; Market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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
    • G40 - Financial Economics - - Behavioral Finance - - - General

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