Shared Analyst Coverage: Unifying Momentum Spillover Effects

64 Pages Posted: 9 Aug 2017 Last revised: 12 Jun 2019

See all articles by Usman Ali

Usman Ali

MIG Capital

David A. Hirshleifer

University of California, Irvine - Paul Merage School of Business; NBER

Date Written: May 2019


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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.

Keywords: CF momentum, cross-asset momentum, industry momentum, geographic momentum, customer momentum, supplier momentum, technology momentum, complicated firms

JEL Classification: G10, G12, G14, G24

Suggested Citation

Ali, Usman and Hirshleifer, David A., Shared Analyst Coverage: Unifying Momentum Spillover Effects (May 2019). Journal of Financial Economics (JFE), Forthcoming. Available at SSRN: or

Usman Ali

MIG Capital ( email )

Newport Beach, CA 92660
United States

David A. Hirshleifer (Contact Author)

University of California, Irvine - Paul Merage School of Business ( email )

Paul Merage School of Business
Irvine, CA California 92697-3125
United States


NBER ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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