Shared Analyst Coverage: Unifying Momentum Spillover Effects
1. Summary
Identifying firm connections by shared analyst coverage, we find that a connected-firm (CF) 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 momentum factors are insignificant/negative after controlling for CF momentum.