Based on these results the authors argue that spillover effects are a unified phenomenon that is rooted in shared analyst coverage. The idea behind the strategy is to calculate a signal for stock X by first identifying all analysts who follow stock X, and then taking the average past return on all the other stocks that are followed by the same analysts.
The authors refer to this as ‘connected stock momentum’, with the connection arising from being covered by the same analyst. We intend to take a close look at these results, especially since we also make use of spillover variables. In particular, we wonder whether we can replicate the results in the paper, and, if so, if this factor can be used to enhance our existing models.
1Ali, U. and Hirshleifer, D., 2019, ‘Shared Analyst Coverage: Unifying Momentum Spillover Effects’, Journal of Financial Economics.
Onze onderzoekers publiceren veel whitepapers die zijn gebaseerd op hun eigen empirische onderzoek, maar ze kijken ook naar kwantitatief onderzoek dat door anderen is gedaan. David Blitz, hoofd Quant Equities Research, vertelt over opvallende externe papers.