Does investors’ site visits improve the capital market pricing efficiency?

This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock price synchronicity, indicating improved pricing efficiency of the capital market. (2) The mechanisms tests showed that: investors could obtain private incremental information through site visits. (3) The conclusions remained intact after robust tests, including alternative key variables, samples and specifications, and various endogenous treatments. (4) Investors added arbitrage trading behavior after the site visit without significantly impounding industry-level information into the stock price. This paper enriched the knowledge of how site visits of different investment entities affect capital market pricing efficiency.