Topic: Information Markets, Analyts, and comovement in stock returns
Presenter：Allaudeen Hameed，Provost’s Chair Professor in Finance and Head, Department of Finance，NUS Business School
Time: November 20, 2009（Friday）3:00—4:30PM
Venue: Room 501, Jiageng Bld 2
Abstract：
We examine the idea of information spillover as the source of stock return comovement, where one (neglected) stock is priced using readily available information about other stocks that share similar fundamentals. We use the number of analysts following a stock to distinguish !°high profile!stocks from neglected stocks and find that the prices of neglected stocks tend to comove with those of intensively covered stocks in the same industry. Consistent with recent theories about the information markets, we also find that the return comovement is more prominent in industries where analysts concentrate their coverage intensely on very few stocks. Finally, using earnings forecast data, we show that information spillovers from high-coverage, bellwether firms to low-coverage ones and the spillover effect is larger when the information is more certain (there is less dispersion in earnings forecast).
Presenter Introduction：
Allaudeen Hameed is the Provost’s Chair Professor in Finance and Head, Department of Finance at NUS Business School. His research papers on return-based trading strategies, liquidity, return co-movement and emerging stock markets are published in leading finance journals such as The Journal of Finance, Journal of Financial Economics, The Journal of Financial and Quantitative Analysis and The Journal of Business. He is an editorial board member of several academic journals such as the Pacific-Basin Finance Journal, and International Review of Finance. He obtained his PhD from The University of North Carolina at Chapel Hill.
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