Journal of Financial Economics Vol. 136 No. 3 2020
Shared analyst coverage: Unifying momentum spillover effects
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.
- DOI
- 10.1016/j.jfineco.2019.10.007
- Volume
- 136
- Issue
- 3
- Pages
- 649-675
- Language
- en
- Sources
- openalex crossref bibtex:phds-export.bib