Do investors listen? Exploring the effect of investor relationship management on firm-specific stock return variation

•We combine the 2016 report of Index of Marketization of China’s Provinces with Nankai University’s investor relationship management index.•We find a significant positive relationship between a firm’s investor relationship management index and its stock price return variation.•A firm’s investor relationship management and its stock return variation varies across China due to regional institutional factors.•Regions with high levels of marketization, high degree of rule of law, and low degree of government intervention exhibit stronger relationship.•Market liberalization enhances the effect of investor relationship management activities on corporate governance and firm valuation.