Analyst Following and Momentum Returns

• Main Authors: Yi-Cheng Lin, 林奕丞
• Other Authors: 辛敬文
• Format: Others
• Language: en_US
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/31873730516089637541

碩士 === 元智大學 === 財務金融學系 === 97 === This paper examines the profitability of momentum strategies based on the information diffusion model, where the information available to investors is measured by various analyst following variables. It is hypothesized that stocks with greater analyst coverage or more frequent forecast revisions reveal more updated information to the public and therefore should yield lower momentum returns. This study indeed provides evidence supporting the hypothesis. I also find that greater analyst coverage or more frequent forecast revisions especially help the dissemination of bad news instead of good news. The results however fail to conclude that greater forecast dispersions or forecast bias interfere the information diffusion and increase the momentum returns.