Sell-Side Analyst Research and Stock Comovement

• 成果类型: Article
• 署名作者: Muslu, Volkan; Rebello, Michael; Xu, Yexiao
• 署名单位: University of Houston System; University of Houston; University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF ACCOUNTING RESEARCH
• ISSN/ISSBN: 0021-8456
• DOI: 10.1111/1475-679X.12057
• 发表日期: 2014
• 页码: 911-954
• 关键词: forecast accuracy; INFORMATION; MARKET; recommendations; investors; coverage; returns; FIRMS

摘要

We document that a stock's price around a recommendation or forecast covaries with prices of other stocks the issuing analyst covers. The effect of shared analyst coverage on stock price comovement extends beyond analyst activity days. A stock's daily returns covary with the returns of other stocks with which it shares analyst coverage. These links between stock price comovement and shared analyst coverage are consistent with the coverage-specific information we find in earnings forecasts; analysts who cover both stocks in a pair expect future earnings of the stocks to be more highly correlated than do analysts who cover only one stock from the pair. Collectively, our evidence indicates that analyst research produces coverage-specific spillovers that raise price comovement among stocks that share analyst coverage. The strength of these spillovers is comparable to spillovers from broad industry and market information in analyst research.