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Sell‐Side Analyst Research and Stock Comovement
16 references·10 citing·43 second hop
Sell‐Side Analyst Research and Stock Comovement (2014)Sell‐Side Analyst Research and Stock Como…On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)On the network topology of va…Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Estimating Standard Errors in…All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)All That Glitters: The Effect…Retail Investor Sentiment and Return Comovements (2006)Retail Investor Sentiment and…Pairs Trading: Performance of a Relative-Value Arbitrage Rule (2006)Pairs Trading: Performance of…Stock price synchronicity and analyst coverage in emerging markets (2005)Stock price synchronicity and…The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices (2004)The Influence of Analysts, In…Comovement (2004)ComovementAnalyzing the Analysts: When Do Recommendations Add Value? (2004)Analyzing the Analysts: When …Investor Psychology and Asset Pricing (2001)Investor Psychology and Asset…Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter? (1999)Analyst forecast accuracy: Do…Self-Selection and Analyst Coverage (1997)Self-Selection and Analyst Co…Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings (1996)Preferences for Stock Charact…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Analyst Following and Institutional Ownership (1990)Analyst Following and Institu…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…How does digital transformation affect corporate social responsibility performance? From the dual perspective of internal drive and external governance (2023)How does digital transformati…Analyst Coverage Networks and Corporate Financial Policies (2023)Analyst Coverage Networks and…Relative Performance Evaluation and Strategic Differentiation (2022)Relative Performance Evaluati…Climate events and return comovement (2022)Climate events and return com…Disclosure Similarity and Future Stock Return Comovement (2021)Disclosure Similarity and Fut…Illiquidity and the Measurement of Stock Price Synchronicity (2019)Illiquidity and the Measureme…Qualitative similarity and stock price comovement (2018)Qualitative similarity and st…Alliances and Return Predictability (2016)Alliances and Return Predicta…Comovement and investment banking networks (2014)Comovement and investment ban…Information, Analysts, and Stock Return Comovement (2010)Information, Analysts, and St…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Limited-dependent and qualitative variables in econometrics (1983)A Simple Model of Herd Behavior (1992)Idiosyncratic Risk Matters! (2003)Market Frictions, Price Delay, and the Cross-Section of Expected Returns (2005)Institutional Investors and Equity Returns: Are Short-term Institutions Better Informed? (2007)Macroeconomics and Reality (1980)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)SRISK: A conditional capital shortfall measure of systemic risk (2017)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)On Persistence in Mutual Fund Performance (1997)Consumer Confidence and Asset Prices: Some Empirical Evidence (2006)Individual Investor Trading and Stock Returns (2008)The short of it: Investor sentiment and anomalies (2011)Prospect theory: An analysis of decision under risk (1988)Media Coverage and the Cross‐section of Stock Returns (2009)Who Gambles in the Stock Market? (2009)In Search of Attention (2011)Industry costs of equity (1997)The Influence of Institutional Investors on Myopic R&D Investment Behavior (1998)The information content of stock markets: why do emerging markets have synchronous stock price movements? (2000)Does board gender diversity improve the informativeness of stock prices? (2011)Stock price synchronicity, crash risk, and institutional investors (2013)Specification Tests in Econometrics (1978)Econometric Analysis of Cross Section and Panel Data (2001)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)Robust Inference With Multiway Clustering (2011)Policy Uncertainty and Corporate Investment (2015)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Information Uncertainty and Stock Returns (2006)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Capital markets research in accounting (2001)Inside the 'Black Box' of Sell-Side Financial Analysts (2013)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 2008Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches10,793 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 2014On the network topology of variance decompositions: Measuring the connectedness of financial firms4,694 cited
  • 2007All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors4,550 cited
  • 2001Investor Psychology and Asset Pricing2,429 cited
  • 2006Retail Investor Sentiment and Return Comovements1,490 cited
  • 1999Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter?1,428 cited
  • 2004The Influence of Analysts, Institutional Investors, and Insiders on the Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices1,250 cited
  • 1996Preferences for Stock Characteristics As Revealed by Mutual Fund Portfolio Holdings1,057 cited
  • 2004Analyzing the Analysts: When Do Recommendations Add Value?982 cited
  • 1997Self-Selection and Analyst Coverage968 cited
  • 2004Comovement929 cited
  • 1990Analyst Following and Institutional Ownership843 cited
  • 2005Stock price synchronicity and analyst coverage in emerging markets

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831 cited
  • 2006Pairs Trading: Performance of a Relative-Value Arbitrage Rule785 cited
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    • 2019Illiquidity and the Measurement of Stock Price Synchronicity61 cited
    • 2010Information, Analysts, and Stock Return Comovement47 cited
    • 2018Qualitative similarity and stock price comovement36 cited
    • 2021Disclosure Similarity and Future Stock Return Comovement35 cited
    • 2014Comovement and investment banking networks35 cited
    • 2023Analyst Coverage Networks and Corporate Financial Policies33 cited
    • 2022Climate events and return comovement30 cited
    • 2022Relative Performance Evaluation and Strategic Differentiation23 cited