Shared analyst coverage: Unifying momentum spillover effects

• 成果类型: Article
• 署名作者: Ali, Usman; Hirshleifer, David
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.10.007
• 发表日期: 2020
• 页码: 649-675
• 关键词: Momentum spillovers; Cross-asset momentum; CF momentum; Linked firms; Analyst co-coverage

摘要

Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) 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 CF momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate news about linked firms sluggishly. These effects are stronger for complex and indirect linkages. Consistent with limited investor attention, these results indicate that momentum spillover effects are a unified phenomenon that is captured by shared analyst coverage. (C) Published by Elsevier B.V.