Does It Pay to Communicate with Firms? Evidence from Firm Site Visits of Mutual Funds
利用中国共同基金实地调研上市公司的独特数据，研究发现调研后的交易量显著增加，且依赖调研信息的交易能预测公司意外盈余，表明基金能从与公司的沟通中获取私有信息并获益。
Abstract By using a unique dataset on mutual fund visits to listed firms in China, we investigate whether mutual funds are able to obtain private information or benefit from their communication with firms. Our findings are as follows: 1) such communication significantly increases the subsequent trading magnitude of mutual funds; 2) mutual fund trades that rely on communication significantly predict the unexpected earnings of visited firms, which is further supported by IV‐regressions that use the number of direct flights between two cities as the instrument of communication; and 3) comprehensiveness of communication topics and firms’ information environment significantly affect the benefits that mutual funds obtain from communication. Our results are robust to alternative measures and specifications, and provide insights for regulators who are concerned with fair disclosure.