Does Analysts' Site Visit Improve Information Efficiency

The 13 th Five-Year Plan and the Report at 19 th CPC National Congress clearly stated that it is necessary to actively promote the development of an open-transparent and healthy multilevel capital market.Obviously,it will further capitalize on the resources allocation function of the capital market;meanwhile,there is no doubt that higher requirements have been placed on the improvement of the information environment.As a vital access to get private news from listed company,analysts' site visit plays a significant role in the improvement of capital efficiency.Using hand collected relative data of Shen Zhen Stock Exchange listed company from 2009 to 2014,this study examines the effect of analysts' site visit on market reaction around annual report.Our results indicate that analysts' site visit actually provides the well-accepted incremental information,which is used as the reference for annals' accounting earnings;additionally,the frequency of site visit is positively correlated with information efficiency.Future grouping regressions suggest that the communication function of site visit is more significant for firms with information asymmetry.Besides,the difference on the capacity of information mining and receiving among investors exists,that is,institutional investors and the investors of firms with high liquidity are more sensitive to the given incremental information.This article clarifies the mechanism of promotion analysts site visit on information efficiency,and provides some thoughts for policy making and analysts' practice.