Institutional investors' site visits, market attention, and stock market information efficiency—Evidence from stock price synchronicity

Abstract

As external governance factors, institutional investors' governance mechanisms and governance effect have been focus areas of research. Based on the data of A‐share listed companies in the Shenzhen Stock Exchange from 2013 to 2019, this study discusses the impact of institutional investors' site visits on capital market information efficiency. The study finds that institutional investors' site visits can significantly reduce stock price synchronicity, indicating the potential of site visits to improve capital market information efficiency. Market attention can play an amplifying role in the relationship between institutional investors' site visits and stock price synchronicity, which manifests as their sensitivity enhancement. Further, institutional investors' site visits are more effective for reducing stock price synchronicity in non‐state‐owned enterprises and those in areas with low marketization. Moreover, institutional research increases information asymmetry between investors. This study demonstrates the positive role of institutional research from the perspective of capital market information efficiency and confirms the effectiveness of institutional investors as external governance factors.

Information gain in alternative data: Evidence from e‐commerce sales and analyst earnings forecasts

“…E‐commerce sales information needs active market environment support, such as integration with the bull market, which can greatly improve the capital market's efficiency (Fang & Hope, 2021). Chen et al (2022) found that market attention can amplify information functions. The stock market environment help improves the value prediction role of e‐commerce sales and plays an imperative role in uncovering alternative data's value and predicting function.…”

“…ESG disclosure enhances analyst forecast accuracy by increasing information transparency (Schiemann & Tietmeyer, 2022). Digital transformation can enhance analysts' forecasts by improving information quality and stock price information content (Chen et al, 2022). Datta et al (2022) explored top executive gender on analyst forecast behavior.…”

Institutional investor shareholding and the quality of corporate innovation: Moderating effects based on internal and external environment

“…We selected firm‐ and city‐level control variables following Jiang and Bai (2022) and Chen et al (2023). The firm‐level control variables include (1) company size, measured by the natural logarithm of the company's total assets and recorded as Size ; (2) capital structure, the shareholding ratio of the top 10 shareholders and the shareholding ratio of management were recorded as Top10 , Mshare ; (3) profitability, measured by the company's return on total assets, denoted as ROA ; (4) debt service capacity, that is, the net cash flow from operating activities as a percentage of total assets, recorded as Cashflow ; (5) growth capacity, that is, the growth rate of the company's operating income is measured as Growth ; and (6) other variables, which include the years of listing, nature of ownership, and whether to hire Big Four accounting firms, recorded as ListAge , SOE , and Big4 , respectively.…”

“…We selected firm-and city-level control variables following Jiang and Bai (2022) and Chen et al (2023). The firm-level control variables include (1) company size, measured by the natural logarithm of the company's total assets and recorded as Size; (2) capital structure, the shareholding ratio of the top 10 shareholders and the shareholding ratio of management were recorded as Top10, Mshare; (3) profitability, measured by the company's return on total assets, denoted as ROA;…”