Shared Analyst Coverage: Unifying Momentum Spillover Effects
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Identifying stock connections by shared analyst coverage, we find that a connected-stock (CS) 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
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美国国家经济研究局创建时间：
2018-10-01
