Shared Analyst Coverage: Unifying Momentum Spillover Effects

Usman Ali and David Hirshleifer

No 25201, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) 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 CS momentum. Similar results hold in cross-sectional regressions and in developed international markets. Sell-side analysts incorporate news about linked stocks sluggishly. These effects are stronger for complex and indirect linkages. These results indicate that previously documented momentum spillover effects represent a unified phenomenon that is captured by shared analyst coverage.

JEL-codes: D03 G02 G11 G12 G14 G4 (search for similar items in EconPapers)
Date: 2018-10
Note: AP
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Published as Usman Ali & David Hirshleifer, 2019. "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, .

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