Does Common Analyst Coverage Explain Excess Comovement?
研究发现分析师预测误差的关联性会导致股票间过度联动，共同分析师覆盖越多的股票，其过度联动越强，且该效应在指数成分股调整等外生事件中显著。
This article shows that correlated errors in news about fundamentals are an important, rational determinant of excess comovement. Individual analysts’ forecast errors tend to be correlated across stocks. Using a proxy for correlated forecast errors based on analyst coverage, I find that stocks with similar sets of analysts exhibit more excess comovement, controlling for industry and other variables. Exogenous changes in commonality in analyst coverage around i) brokerage firm mergers and ii) additions to an index lead to changes in excess comovement. This information channel explains 10% to 25% of the increase in comovement around additions to the S&P 500 index.