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Shared analyst coverage, 52-week high, and cross-firm return predictability

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  • Lin, Mei-Chen

Abstract

In this study, we show that the return predictability of analyst-connected firms is positively correlated with nearness to 52-week high stock prices. Our results are robust to tax loss selling and penny stocks and when controlling for market factors and macroeconomic conditions. The impact of the 52-week high on the analyst-connected momentum effect is stronger among focal stocks of smaller firms, those with lower institutional ownership, and those with less analyst coverage. Moreover, the greater the number of shared analysts, the stronger the relationship between firm fundamentals, resulting in stronger return predictability. When both focal and analyst-connected firms have stock prices near (far from) their 52-week highs, there is a stronger underreaction to good (bad) news about analyst-connected firms.

Suggested Citation

  • Lin, Mei-Chen, 2024. "Shared analyst coverage, 52-week high, and cross-firm return predictability," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    • Handle: RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003806
    DOI: 10.1016/j.irfa.2024.103448
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