Investor Corporate Visits and Predictable Returns
利用深交所上市公司数据，发现异常频繁的投资者实地调研能预测未来股票收益，每月高出70-100个基点，尤其对低交易量、高差旅成本的冷门股票更显著。
Abstract Using a unique data set of firms listed on China’s Shenzhen Stock Exchange, we show that investors’ corporate site visits convey information about future stock returns. Firms with abnormally frequent investor visits predictably outperform firms with abnormally infrequent investor visits by approximately 70-to-100 basis points per month. This return predictability concentrates on neglected firms with low trading volumes and when investors incur higher travel costs. Abnormally frequent investor visits accompany increased holdings among visiting institutions and predict improvements in firms’ fundamental performance, consistent with institutions using visits to gain an information advantage regarding underpriced firms. The significance of conducting site visits and in-depth research by fund companies is to consistently deliver stable and substantial returns to clients through professional expertise. (Lei Jing, CEO of Harvest Fund Management Co., Ltd., China)