Workshop Series: Allaudeen Hameed

23 November, 2010 - 10:00 to 12:00
Room 106, Colin Clark Building

Abstract: We examine information spillover as a source of stock return synchronicity, where information about highly-followed "prominent" stocks is used to price other "neglected" stocks sharing a common fundamental component. We find that stocks followed by few analysts co-move significantly with firm-specific fluctuations in the prices of highly followed stocks in the same industry, but do not observe the converse. This effect is stronger in industries where analysts follow fewer stocks. Earnings forecast revisions for highly followed stocks cause price changes in little followed stocks, but the converse is not observed. These findings validate models of specialized information intermediaries assisting the information capitalization process.

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Allaudeen Hameed, Professor, National University of Singapore