Information, analysts, and stock return comovement
By: Allaudeen Hameed, Randall Morck, Jianfeng Shen, Bernard Yeung
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 15833; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15833.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: [electronic resource] /
Description: "We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component.  We find that stocks followed by few analysts co-move significantly with firm-specific fluctuations in the prices of highly followed stocks in the same industry, but do not observe the converse.  This effect is more prominent in industries where analysts follow fewer stocks.  Earnings forecast revisions for highly followed stocks cause price changes in little followed stocks, but the converse is again not observed.  This is consistent with information spillover being primarily unidirectional - flowing from prominent to neglect stocks, but not vice versa.  These findings also validate models of specialized information intermediaries in stock markets assisting the information capitalization process"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 3/23/2010.

Includes bibliographical references.

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