Shared analyst coverage: Unifying momentum spillover effects

Usman Ali and David Hirshleifer

Journal of Financial Economics, 2020, vol. 136, issue 3, 649-675

Abstract: 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.

Keywords: Momentum spillovers; Cross-asset momentum; CF momentum; Linked firms; Analyst co-coverage (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G24 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (49)

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Working Paper: Shared Analyst Coverage: Unifying Momentum Spillover Effects (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:136:y:2020:i:3:p:649-675

DOI: 10.1016/j.jfineco.2019.10.007

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