Abstract

http://ssrn.com/abstract=1569198
 
 

References (46)



 
 

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Information, Analysts, and Stock Return Comovement


Allaudeen Hameed


National University of Singapore (NUS) - Department of Finance

Randall Morck


University of Alberta - Department of Finance and Statistical Analysis; National Bureau of Economic Research (NBER)

Jianfeng Shen


UNSW Australia Business School, School of Banking and Finance

Bernard Yin Yeung


National University of Singapore - Business School

February 3, 2015

AFA 2011 Denver Meetings Paper

Abstract:     
Analysts disproportionately follow firms whose fundamentals correlate more with those of other firms in their industries. This supports models of profit-maximizing information intermediaries preferentially producing information valuable in pricing more stocks. Designating highly followed firms whose fundamentals best predict those of other firms in the industry as bellwether firms, we observe unidirectional information spillovers from bellwether firms. Specifically, when analysts revise a bellwether firm’s earning forecast, it significantly changes prices of other firms; however, revisions for less intensely followed firms do not change heavily followed firms’ prices. Unidirectional information spillovers explain how more accurately priced stocks might exhibit more comovement.

Number of Pages in PDF File: 55

Keywords: Analysts; Return comovement; Information spillover; Earnings forecasts; Bellwether firms

JEL Classification: G14


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Date posted: March 14, 2010 ; Last revised: February 12, 2015

Suggested Citation

Hameed, Allaudeen and Morck, Randall and Shen, Jianfeng and Yeung, Bernard Yin, Information, Analysts, and Stock Return Comovement (February 3, 2015). AFA 2011 Denver Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1569198 or http://dx.doi.org/10.2139/ssrn.1569198

Contact Information

Allaudeen Hameed (Contact Author)
National University of Singapore (NUS) - Department of Finance ( email )
Mochtar Riady Building
15 Kent Ridge Drive
Singapore, 119245
Singapore
HOME PAGE: http://www.bschool.nus.edu.sg/staff_profile/cv.asp?ID=3
Randall K. Morck
University of Alberta - Department of Finance and Statistical Analysis ( email )
2-32C Business Building
Edmonton, Alberta T6G 2R6
Canada
780-492-5683 (Phone)
780-492-3325 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Jianfeng Shen
UNSW Australia Business School, School of Banking and Finance ( email )
Sydney, NSW 2052
Australia
Bernard Yin Yeung
National University of Singapore - Business School ( email )
1 Business Link
Biz 2 Building Level 6
Singapore 117592
Singapore
65 6516 3075 (Phone)
65 6779 1365 (Fax)
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