Newport Beach, CA 92660
Institutional Affiliation: MIG Capital
NBER Working Papers and Publications
|October 2018||Shared Analyst Coverage: Unifying Momentum Spillover Effects|
with David Hirshleifer: w25201
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.
Published: Usman Ali & David Hirshleifer, 2019. "Shared analyst coverage: Unifying momentum spillover effects," Journal of Financial Economics, .