Bad News Travels Slowly : Size, Analyst Coverage, and The Profitability of Momentum Strategies  

Oleh:

Stein, Jeremy C. ; Lim, Terence ; Hong, Harrison

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 1 (2000), page 265-296.
Topik: profitability; stock prices; investment policy; information dissemination; studies; mathematical models
Fulltext: p 265.pdf (260.72KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Various theorues have been proposed to explain momentum in stock returns. We test the gradual - information diffusion model of hong and stein (1999) and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies decline sharply with firm size. Second, holding size fixed momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners. These findings are consistent with the hypothesis that firm - specific information, especially negative information, diffuses only gradually across the investing public.

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