Psychological barrier and cross-firm return predictability *

• 成果类型: Article
• 署名作者: Huang, Shiyang; Lin, Tse-Chun; Xiang, Hong
• 署名单位: University of Hong Kong; Renmin University of China; University of Hong Kong
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.06.006
• 发表日期: 2021
• 页码: 338-356
• 关键词: Cross-firm return predictability; Psychological barrier; 52-week high; Customer momentum

摘要

We provide a psychological explanation for the delayed price response to news about eco-nomically linked firms. We show that the return predictability of economically linked firms depends on the nearness to the 52-week high stock price. The interaction between news about economically linked firms and the nearness to the 52-week high can partially ex -plain the underreaction to news about customers, geographic neighbors, industry peers, or foreign industries. We also find that analysts react to news about economically linked firms but the 52-week high effect reduces such reactions, providing direct evidence that the 52-week high affects the belief-updating process . (c) 2021 Elsevier B.V. All rights reserved.