Abstract

We study the role of logistics information in the price discovery process. Using a proprietary data set on firm-level logistics service records covering 2,035 firms during 2011 to 2019 from the largest express delivery service provider in China, we find that parcel delivery contains firm-specific information for stock pricing. A long-short portfolio by buying (selling) stocks with the high (low) quarterly growth in the number of parcels sent by firms generates a 9.72% risk-adjusted return annually. The return predictability of parcel growth holds after controlling for firm characteristics and stays persistent in up to three quarters without any reversal. This predictability is more significantly driven by firms’ delivery of document-related (light) parcels than goods-related (heavy) parcels. Moreover, parcel growth positively predicts firm growth, profitability, and earnings surprises. We last show that institutional investors and insiders may observe the value-relevant information contained in parcel growth, and adjust their positions before such information is fully revealed to the public.

About the Speaker

Prof. Bohui Zhang is Presidential Chair Professor of Finance and Executive Associate Dean of School of Management and Economics at The Chinese University of Hong Kong, Shenzhen. He is also the director of the Center for FinTech and Social Finance, and the director of M.Sc. in Data Science at Shenzhen Finance Institute. Before joining CUHK Shenzhen, he was the professor of finance at UNSW Business School, UNSW Sydney, and the associate director of the Institute of Global Finance. He studies the role of information intermediaries on capital markets, Chinese and foreign capital markets, and Fintech. His papers have been accepted for publication in the global top-tier finance, accounting, and business journals. He has also been awarded with research grants from Australian Research Council, the Centre for International Finance and Regulation, Australian School of Business, and National Natural Science Foundation of China. He is also the Vice President of Asian Finance Association.