Shared Analyst Coverage: Unifying Momentum Spillover Effects (Internet Appendix)

3 Pages Posted: 12 Jun 2019

See all articles by Usman Ali

Usman Ali

Pacific Investment Management Company (PIMCO)

David A. Hirshleifer

Marshall School of Business, USC; National Bureau of Economic Research (NBER)

Date Written: May 28, 2019

Abstract

Full paper is available at: https://ssrn.com/abstract=3015582

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: momentum spillovers, cross-asset momentum, CF momentum, linked firms, analyst co-coverage

JEL Classification: G10, G12, G14, G24

Suggested Citation

Ali, Usman and Hirshleifer, David A., Shared Analyst Coverage: Unifying Momentum Spillover Effects (Internet Appendix) (May 28, 2019). Available at SSRN: https://ssrn.com/abstract=3395415 or http://dx.doi.org/10.2139/ssrn.3395415

Usman Ali (Contact Author)

Pacific Investment Management Company (PIMCO) ( email )

United States

David A. Hirshleifer

Marshall School of Business, USC ( email )

Marshall School of Business
Los Angeles, CA 90089
United States

HOME PAGE: http://https://sites.uci.edu/dhirshle/

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you want regular updates from SSRN on Twitter?

Paper statistics

Downloads
125
Abstract Views
874
rank
304,146
PlumX Metrics