Site visit information content and return predictability: Evidence from China

Do Corporate Site Visits Constrain Real Earnings Management?

“…Such information is highly dependent on personal assessment and difficult to summarize in numbers or words but provides essential insights into a firm's long-term performance prospects. Jiang and Yuan (2018) and D. Dong et al (2020) confirm the usefulness of CSVs in delivering long-term value-related information. Specifically, Jiang and Yuan (2018) find that CSVs foster innovation, which is a form of long-term investment.…”

“…Specifically, Jiang and Yuan (2018) find that CSVs foster innovation, which is a form of long-term investment. D. Dong et al (2020) provide more direct evidence, showing that CSV reports have predictive power for long-term stock returns.…”

“…Specifically, Jiang and Yuan (2018) find that CSVs foster innovation, which is a form of long-term investment. D. Dong et al (2020) provide more direct evidence, showing that CSV reports have predictive power for long-term stock returns. By providing in-depth value-related information and building creditability with visitors, CSVs could alleviate managers' pressure to boost short-term earnings at the expense of long-term value.…”

Sentiment indices and stock returns: Evidence from China

“…To compare forecasting performance, we collect 10 monthly economic variables that are closely linked to China's economic fundamentals (see, for example, Welch & Goyal, 2008; Jiang et al, 2011; Zhang, Wei, et al, 2019; Dong et al, 2020). These 10 economic variables are defined as follows…”

“…Then, we compare the predictive power of the sentiment indices to that of economic variables. Following Campbell and Shiller (1988), Welch and Goyal (2008), Goh, Jiang, Tu, and Wang (2013), Frrmmel and Han (2014), and Wang, Liu, Ma, and Diao (2018), among others, we consider the 10 popular economic variables on the Chinese A‐share market, such as log of the dividend‐price ratio ( DP ), earnings‐to‐book equity ratio ( ROE ), log earning‐price ratio ( EP ), book‐to‐market ratio (BM), turnover rate ( TO ), Shibor rate ( Shibor ), weighted‐average interest rate in the national interbank borrowing market ( Bkuim ), inflation rate (Inflation), producer price index ( PPI ), and purchasing managers' index ( PMI ) (see, for example, Welch & Goyal, 2008; Jiang, Tu, Rapach, Strauss, & Zhou, 2011; Zhang, Wei, Ma, & Yi, 2019; Dong, Yue, & Cao, 2020). The results of univariate regressions show that the in‐sample R 2 statistics of the 10 economic variables are all below 3%, and only four of them are greater than 1%.…”