Information, Analysts, and Stock Return Comovement

• 成果类型: Article
• 署名作者: Hameed, Allaudeen; Morck, Randall; Shen, Jianfeng; Yeung, Bernard
• 署名单位: National University of Singapore; University of Alberta; University of New South Wales Sydney
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv042
• 发表日期: 2015
• 页码: 3153
• 关键词: FORECAST REVISIONS; institutional investors; earnings; MARKET; industry; overreaction; performance; coverage; BEHAVIOR; news

摘要

Analysts follow disproportionally firms whose fundamentals correlate more with those of their industry peers. This coverage pattern supports models of profit-maximizing information intermediaries producing preferentially information valuable in pricing more stocks. We designate highly followed firms whose fundamentals best predict those of peer firms as bellwether firms. When analysts revise a bellwether firm's earning forecast, it changes the prices of other firms significantly; however, revisions for firms that are less intensely followed do not change the prices of heavily followed firms. Unidirectional information spillovers explain how the more accurately priced stocks might exhibit more comovement.