Shenzhen Stock Exchange Disclosure Regime (深交所披露制度)

A set of SZSE-specific rules requiring listed firms to publicly disclose investor-relations interactions within two trading days. The regime is the institutional reason that Abnormal Investor Visits (AIV) exists as a real-time, large-sample cross-sectional signal. The Shanghai Stock Exchange (SHSE) does not have the same mandate, which limits external validity.

What the SZSE requires

Since July 2012, all SZSE-listed firms have been required to electronically publish a standard visiting report for every investor visit through the exchange's web portal "互动易" (http://irm.cninfo.com.cn/szse/). The report must include:

Date and type of the visit (on-site vs. online, plant / HQ vs. roadshow).
Names and affiliations of participating institutions and individuals.
A summary of discussion topics.
Any non-public material information disclosed during the visit (which the firm must subsequently release publicly).

Disclosure must occur within two trading days of the visit date. In So Wang Zhang 2024 Investor Corporate Visits, ~88.9% of visits satisfy this two-day rule (Figure 1 Panel A); observations with disclosure more than 10 trading days after the visit date are dropped.

Prior to July 2012, the SZSE only required firms to mention site visits in their annual reports — too coarse for monthly signal construction.

Why this matters for alpha research

Without the SZSE mandate, institutional on-site visits would be either proprietary data (cf. Soltes 2014, Solomon & Soltes 2015, both single-firm US samples) or unrecoverable. The mandate turns every visit into a point-in-time, free alternative-data observation:

Granularity: monthly / quarterly frequency per name.
Breadth: every SZSE-listed firm covered; ~50%+ of firms host ≥1 visit / year.
Timeliness: median 1-day disclosure lag, max 2 days (by rule).
Cross-sectionally comparable: standard report format means counts can be regressed across names.

The consequence is that AIV is reproducible out-of-sample with only public data (CSMAR or the raw 互动易 portal), unlike most US micro-structure signals.

Why SHSE replication is hard

The Shanghai Stock Exchange (SHSE) does not require same-day disclosure. In practice:

Investor visits to SHSE firms are reported only sporadically, often bundled into annual reports.
The sample of disclosed SHSE visits is too thin and inconsistent for cross-sectional regression.
Replicating Abnormal Investor Visits (AIV) on SHSE-listed names requires either a private dataset (broker-dealer records) or manual scraping of corporate IR pages — neither has the same statistical power.

This is the central external-validity caveat of the So Wang Zhang 2024 Investor Corporate Visits paper: the alpha is identified in a specific institutional setting where it is observable, not necessarily where it is absent.

International comparison

Exchange / regulator	Disclosure window	Public accessibility	Practical implication
SZSE (since Jul 2012)	2 trading days	Free via 互动易	Monthly AIV signal reproducible
SHSE	None (IR-discretionary)	None systematic	Cannot replicate AIV
US (SEC)	None for private meetings	Single-firm proprietary data only	Soltes 2014 / Solomon-Soltes 2015
UK (LSE)	None for private meetings	Single-firm proprietary data only	Sparse literature
Hong Kong (HKEX)	Disclosure on investor-relations pages only	Limited; inconsistent	Largely unstudied

Other SZSE disclosure features relevant to alpha research

Information disclosure reform (post-2012): mandatory timely disclosure of material events on 互动易 — broader than just visits; useful for building event-based signals.
Internet-based communication platform (互动易): forum where retail and institutional investors can pose questions; see Lee & Zhong (2022) on how firms use it.
Social responsibility disclosure: ESG-related mandatory reporting since 2018; potential source of ESG signal for A-share quant.
Hu Dong Yi (互动易) is also widely used by analysts; Bowen et al. (2018) and Chen et al. (2022) study it as an information-production channel.

Implementation notes for AIV replication

Pull from CSMAR (most reliable for backtesting) or directly scrape irm.cninfo.com.cn/szse/ for live trading.
Always use the disclosure date, not the visit date — look-ahead bias is otherwise fatal.
Match by firm-month rather than visit-level to avoid multiple-counting.
Restrict to visits with at least one institutional (mutual-fund or hedge-fund) attendee; sell-side-only visits are noise (see So Wang Zhang 2024 Investor Corporate Visits Table 3 col 8).