Shared Analyst Coverage: Unifying Momentum Spillover Effects
64 Pages Posted: 9 Aug 2017 Last revised: 12 Jun 2019
Date Written: May 2019
Appendix is available at: https://ssrn.com/abstract=3395415
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: Suggested Citation