Abstract: Based on the perspective of investor information acquisition, this paper uses a sample of companies listed on the Shenzhen Stock Exchange from 2013 to 2017 to empirically test whether investor site visits can reduce the market reaction caused by rumors, and discusses the mechanism of action from the intermediary role of investor trading behavior. The study finds that investor site visits has significantly reduced the market reaction caused by rumors through making market trading behaviors more rational, and this effect is more pronounced in the companies which have experienced significant changes in current performance. The above results are still established after a series of robustness tests, indicating that investor site visits can improve market pricing efficiency through strengthening the ability of the capital market to distinguish rumors. Further testing finds that the participation of investors in research activities and the disclosure of research information both help to improve the rational decision-making level, and investor site visits significantly improve the timeliness of the companies’ clarification announcements of rumors.

Key words: investor site visits, information acquisition, rumors, market reaction, trade behaviors

摘要： 本文基于投资者信息获取视角, 采用2013~2017年深圳交易所上市公司样本, 实证检验了投资者调研能否降低不实传闻引发的市场反应, 并通过投资者交易行为在其间发挥的中介作用探讨其作用机理。研究发现:投资者调研通过使市场交易行为更为理性, 显著降低了不实传闻引发的市场反应, 并且这一作用在当期业绩发生大幅变化的公司中更为明显。以上结果在进行了一系列稳健性检验后依然成立, 说明投资者调研能够提高资本市场对不实传闻的分辨能力, 从而提高市场定价效率。进一步检验发现, 参与调研活动或分析披露的调研信息均有助于提高投资者理性决策水平, 并且投资者调研显著提升了公司发布传闻澄清公告的及时性。

关键词: 投资者调研, 信息获取, 不实传闻, 市场反应, 交易行为