Managerial integrity and stock returns

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-04-12 DOI:10.1016/j.najef.2025.102436

Mo Yang , Jiawei Cao , Yifan Meng , Hao Gong

引用次数: 0

Abstract

This study creates a monthly managerial integrity index (MII) by analyzing managers’ responses in information disclosure during site visits, and assesses its effectiveness in predicting returns. The empirical results indicate that a higher MII significantly predicts a lower Chinese A-share market return in the next month, with in-sample and out-of-sample R²s of 4.0133 % and 4.5714 %, respectively. This conclusion remains consistent after conducting various robustness tests. Additionally, the study reveals that managerial integrity influences stock market returns by boosting trading activity and reducing the liquidity premium.

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管理诚信和股票回报

本研究通过分析经理人在实地考察中对信息披露的反应，创建了月度经理人诚信指数（MII），并评估了其预测回报率的有效性。实证结果表明，较高的 MII 能显著预测下一个月较低的中国 A 股市场回报率，样本内和样本外 R2 分别为 4.0133 % 和 4.5714 %。在进行了各种稳健性检验后，这一结论仍然是一致的。此外，研究还揭示了管理者诚信通过提高交易活跃度和降低流动性溢价来影响股市回报率。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.