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Do corporate site visits impact idiosyncratic volatility? Evidence from China

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  • Cai, Wenwu
  • Lu, Jing
  • Zhao, Yuyang

Abstract

Using the Shenzhen Stock Exchange of China data between 2012 and 2022, this study investigates whether and how corporate site visits affect idiosyncratic volatility. We find that corporate site visits are negatively associated with idiosyncratic volatility, and this result is robust to a battery of sensitivity tests. Moreover, the negative effect of site visits on idiosyncratic volatility is more pronounced for firms with lower book-to-market ratios, younger listing ages, and lower analyst coverage. Further, corporate site visits reduce idiosyncratic volatility by improving earnings quality on the information supply side and alleviating heterogeneous beliefs on the information demand side. Finally, corporate site visits mitigate equity mispricing caused by idiosyncratic volatility.

Suggested Citation

  • Cai, Wenwu & Lu, Jing & Zhao, Yuyang, 2023. "Do corporate site visits impact idiosyncratic volatility? Evidence from China," Research in International Business and Finance, Elsevier, vol. 66(C).
    • Handle: RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001186
    DOI: 10.1016/j.ribaf.2023.101992
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    References listed on IDEAS

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    1. Patrick J. Kelly, 2014. "Information Efficiency and Firm-Specific Return Variation," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 4(04), pages 1-44.
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    Cited by:

    1. Wang, Haijun & Jiao, Shuaipeng & Sun, Guanglin, 2024. "Investor interaction and the valuation of listed companies," Research in International Business and Finance, Elsevier, vol. 67(PB).

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    More about this item

    Keywords

    Corporate site visits; Idiosyncratic volatility; Earnings quality; Heterogeneous beliefs; Equity mispricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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