Replication Data for: To see is to believe: Corporate site visits and mutual fund herding

Using a unique data set of corporate site visits by mutual
funds to Chinese firms listed on the Shenzhen Stock
Exchange from 2013 to 2021, we find that firms with visits
(more visits) are associated with lower mutual fund
herding than those with no (fewer) visits. In addition, we
demonstrate that mutual funds’ visits to a firm drive the
change in their herding propensity by verifying hard information
(e.g., the firm’s technology, innovation, accounting,
and finance information) and obtaining soft information (e.g.,
management’s risk appetite, employee morale, and corporate
culture). Furthermore, corporate site visits are found to
strengthen herding’s price impact without return reversals.
Overall, our results are consistent with information cascade
theory.

本研究采用2013至2021年间中国深圳证券交易所上市企业接受共同基金实地调研的独有数据集，研究发现：相较于未接受调研（或调研次数更少）的企业，接受调研（或调研次数更多）的企业所面临的共同基金羊群行为程度更低。此外，本研究证实，共同基金对企业的实地调研可通过核实企业技术、创新、会计与财务等硬信息，并获取管理层风险偏好、员工士气与企业文化等软信息，进而改变其羊群行为倾向。进一步分析表明，企业实地调研会强化羊群行为的价格影响，且不会引发收益反转。综上，本研究结果与信息瀑布理论（information cascade theory）的预期相符。