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.

摘要：我们研究物流信息在价格发掘过程中的作用。使用中国最大的快递服务提供商在2011年至2019 年涵盖 2,035 家公司的企业级物流服务记录的专有数据，我们发现包裹递送包含公司特定的股票定价信息。通过购买（出售）公司发送的包裹数量季度增长高（低）的股票的多空投资组合每年产生9.72%的风险调整后回报。在控制了公司特征后，快递增长的回报可预测性保持不变，并且在长达三个季度内保持不变而没有任何逆转。这种可预测性主要是由公司交付与文件相关的（轻）包裹而不是与货物相关的（重）包裹来推动的。此外，包裹增长正向预测公司增长、盈利能力和盈利意外。我们最后表明，机构投资者和内部人士可能会观察包裹增长中包含的价值相关信息，并在这些信息完全向公众披露之前调整他们的头寸。