| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15833 |
| 来源ID | Working Paper 15833 |
| Information, analysts, and stock return comovement | |
| Allaudeen Hameed; Randall Morck; Jianfeng Shen; Bernard Yeung | |
| 发表日期 | 2010-03-18 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Economics of Information ; Financial Economics ; Financial Markets ; Other ; Accounting, Marketing, and Personnel |
| URL | https://www.nber.org/papers/w15833 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573507 |
| 推荐引用方式 GB/T 7714 | Allaudeen Hameed,Randall Morck,Jianfeng Shen,et al. Information, analysts, and stock return comovement. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15833.pdf（210KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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