Research On The Capital Market Information Efficiency Of Investor Site Visit

Long time ago,the policy makers and investors were focus on how to enhance efficiency of capital market and decrease information asymmetry between the insider and outsider.So all countries over the world are devote to enhance the level of company's information disclose.Chinese capital market has experienced 30 years of development.Its institution construction is imperfect and individual investor play a main role.These characteristics not only enhance the information asymmetry between insider and outsider of listed company,but also bring the different of information between individual investor and institutional investor.With Chinese capital market reform,some policies about information disclose of listed companies are issued.Shenzhen Stock Exchange issue "The Demo of Information Disclose No.41——Investor's Relationship and Information Disclose".This signals a new age of Chinese capital market's monitor.In detail,it required listed companies disclose the activity information of investor like achievement meeting and institution investor investigate within two days.Those information would disclose on the "investor relationship" column of Cninf website and content type of activity,name of institution and people that participated in activity,investor's questions and replies of manager and so on.This regulation spread the information that acquired by investors site visit to capital market on time.It increased the information content of capital market,not only decreased the level of information asymmetry between company insider and outsider,but also between individual investor and institutional investor.So we would ask:How investor site visit impact capital market information efficiency?What investor site visit impact on information disclose behavior of listed company?What investor site visit impact on information disclose quality of listed company?What investor site visit impact on pricing efficiency of capital market?What is company heterogeneity's role in site visit?What different impact on different type of investor whose participate in site visit?This paper base on the method of normative research,comprehensive use theory of information asymmetry,agency theory,efficiency market theory and behavioral finance theory,analysis the channel of investor site visit's capital market effect.On this basis,I focus on sense of earning information,follow a line of“investor site visit——behavior of company information disclose——quality of company information disclose-equity pricing of capital market",use listed company data of Shenzhen Stock Exchange from 2013-2016.The paper studies three aspects as follow:First,base channel of information,I test how investor site visit impact timeliness of manager earning forecast and annual report.Additionally,I test different type ofinvestor and company heterogeneity impact on those relationship above.I find that:First,investor site visit increase the timeliness of manager earning forecast,and this impact is more pronounce in company with higher information asymmetry.It means that investor site visit decrease company's information asymmetry.Second,investor site visit increase the timeliness of annual report,and this impact is more pronounce in company which have internal control weakness,prove our hypothesis about information effect form investor site visit.At last,I consider different type of investor and found sell side investors had more impact on timeliness of information disclosure than buy side investors.Second,base channel of information and agency,I test how investor site visit impact quality of earning information and earning persistence.Additionally,I test different type of investor and company heterogeneity impact on those relationship above.I find that:First,investor site visit increase the quality of earning information through restrain manipulate accrual behavior by manager,and this impact is more pronounce in company that have higher level of internal monitor.Those results means that investor site visit decearse agency conflict between manager and shareholder.Second,investor site visit enhance earning persistence of company,and this impact is more pronounce in company that have higher volatility of earning.Further,those results means investor site visit no only enhance earning quality in this period,but also incearse earning persistence of company.At last,I consider different type of investor and found sell side investors had more impact on quality of earning information and earning persistence than buy side investors.Third,base channel of information and investor attention,I test how investor site visit impact market response of rumor and earnings value relevance.Additionally,I test different type of investor and company heterogeneity impact on those relationship above.I find that:First,investor site visit decrease volatility of stock price caused by rumor through distinguish the rumor of company.And this impact is more pronounce in company which issue clarification notice beyond two days.This result means that investor site visit gain the true information from communicated with manager immediately.Second,investor site visit incearse earnings value relevance through provide additional information to capital market.It means investor site visit help other investors understand company's performance better.At last,I consider different type of investor and found sell side investors had not different impact on market response of rumor,but sell side investoers had more impact on earnings value relevance than buy side investors.This paper's contribution as follow:First,I test impact of investor site visit's on information efficiency of capital market based on scene of potential investors,provide new evidence about economic consequences of investor direction communicate with manager.It can understand the incentive of investor information acquisition and its economic consequences under the special background of Chinese capital market.Second,I studies the economic consequences from different type of investors whose site visit company base on investor heterogeneity,extends an emerging literature that focus on investor heterogeneity.It can help us understand different type of investor impact on capital market deeply.Third,this study also contributes to the literature on information efficiency of capital market,improve relate studies about impact factors of capital market information efficiency and the studies frame of "investor site visit——behavior of company information disclose——quality of company information disclose——equity pricing of capital market ".The conclusion of this paper provide guidance of how to use information from site visit to investors and how to improve level of information disclose to listed companies.Additionally,it can help policy maker to enact relative information disclose policy effectively.