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

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