Information, Analysts, and Stock Return Comovement

Allaudeen Hameed, Randall Morck, Jianfeng Shen () and Bernard Yeung

The Review of Financial Studies, 2015, vol. 28, issue 11, 3153-3187

Abstract: 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.

Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (60)

Downloads: (external link)
http://hdl.handle.net/10.1093/rfs/hhv042 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Information, analysts, and stock return comovement (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:rfinst:v:28:y:2015:i:11:p:3153-3187.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

The Review of Financial Studies is currently edited by Itay Goldstein

More articles in The Review of Financial Studies from Society for Financial Studies Oxford University Press, Journals Department, 2001 Evans Road, Cary, NC 27513 USA.. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().