Shared Analyst Coverage: Unifying Momentum Spillover Effects / Usman Ali, David Hirshleifer.

Format:

Book

Author/Creator:

Ali, Usman.

Contributor:

National Bureau of Economic Research.

Hirshleifer, David.

Series:

Working Paper Series (National Bureau of Economic Research) no. w25201.

NBER working paper series no. w25201

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Shared Analyst Coverage

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) momentum factor generates a monthly alpha of 1.68% (t = 9.67). In spanning regressions, the alphas of industry, geographic, customer, customer/supplier industry, single- to multi-segment, and technology momentum factors are insignificant/negative after controlling for CS momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate news about linked stocks sluggishly. These effects are stronger for complex and indirect linkages. These results indicate that previously documented momentum spillover effects represent a unified phenomenon that is captured by shared analyst coverage.

Notes:

Print version record

October 2018.