分析师共同覆盖与关联公司动量溢出效应

Shared Analyst Coverage and Connected-firm Momentum Spillover Effect

本文利用2008—2018年间沪深A股数据对基于分析师共同覆盖所识别出的关联公司动量溢出效应的表现与其对以行业、地理为代表的其他动量溢出效应的解释力进行了研究,进一步分析了分析师覆盖对关联公司动量溢出效应的影响。研究结果表明:我国股市中存在显著的关联公司动量溢出效应与行业溢出效应,且后者很大部分能够被前者所解释,地理溢出效应则不显著。与此同时,我国股票市场中高分析师覆盖的公司往往有着更强的关联公司动量溢出效应,并且分析师覆盖自身也能够对关联公司动量溢出效应造成正向影响。本文的研究结果既能够为国内股票市场的投资策略提供新的思路,也能够为未来对关联公司动量溢出效应的研究提供一定的参考价值。

We investigate the performance of the connected-firm(CF)momentum spillover effect based on shared analyst coverage and its explanatory power on other momentum spillover effects represented by industrial effect and geographical effect using the data of Shanghai and Shenzhen A-share companies during 2008-2018.Further,we analyze the impact of analyst coverage on the CF momentum spillover effect.The results show that there are significant CF momentum spillover and industrial spillover effects in Chinese stock market,and the latter is largely explained by the former,while the geographic spillover effect is insignificant.At the same time,companies with high analyst coverage in the Chinese stock market tend to have stronger CF momentum spillover effects,and after considering shared analyst coverage,analyst coverage itself can also influence CF momentum spillover effects.Our findings can provide new insights into the investment strategy of the domestic stock market,and also contribute to future research on the CF momentum spillover effect.