Abstract

http://ssrn.com/abstract=1569198
 
 

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Information, Analysts, and Stock Return Co-Movement


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

December 2, 2013

AFA 2011 Denver Meetings Paper

Abstract:     
We provide evidence of information spillover emanating from industry bellwether firms. Specifically, when analysts revise the earnings forecasts of bellwether firms, which are heavily followed by sell-side analysts and whose fundamentals are better predictors of many other firms’ fundamentals, we observe significant changes in the prices of other related firms which are thinly covered or uncovered by analysts. These information spillovers are unidirectional; earnings forecast revisions for less intensely followed firms do not affect the prices of heavily followed firms. We show that such spillovers form an important source of stock return co-movement, consistent with recent models of information intermediaries.

Number of Pages in PDF File: 44

Keywords: Analysts; Return co-movement; Information spillover; earnings forecasts; bellwether firms

JEL Classification: G14

working papers series





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Date posted: March 14, 2010 ; Last revised: December 10, 2013

Suggested Citation

Hameed, Allaudeen and Morck, Randall and Shen, Jianfeng and Yeung, Bernard Yin, Information, Analysts, and Stock Return Co-Movement (December 2, 2013). 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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