The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies
Abstract
Various theories have been proposed to explain momentum in stock returns. We test the gradual‐information‐diffusion model of Hong and Stein (1999) and establish three key results. First, once one moves past the very smallest stocks, the profitability of momentum strategies declines sharply with firm size. Second, holding size fixed, momentum strategies work better among stocks with low analyst coverage. Finally, the effect of analyst coverage is greater for stocks that are past losers than for past winners. These findings are consistent with the hypothesis that firm‐specific information, especially negative information, diffuses only gradually across the investing public.
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Citations
Cites
Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
JEGADEESH, N., & TITMAN, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb04702.x · Cited by 11,584
Cited by
Barber, B. M., & Odean, T. (2008) · Review of Financial Studies · doi:10.1093/rfs/hhm079 · Cited by 4,556
The price of sin: The effects of social norms on markets
Hong, H., & Kacperczyk, M. (2009) · Journal of Financial Economics · doi:10.1016/j.jfineco.2008.09.001 · Cited by 2,601
Self-citationDoes the stock market fully value intangibles? Employee satisfaction and equity prices
Edmans, A. (2011) · Journal of Financial Economics · doi:10.1016/j.jfineco.2011.03.021 · Cited by 2,511
Size, value, and momentum in international stock returns
Fama, E. F., & French, K. R. (2012) · Journal of Financial Economics · doi:10.1016/j.jfineco.2012.05.011 · Cited by 1,767
Do Industries Explain Momentum?
Moskowitz, T. J., & Grinblatt, M. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00146 · Cited by 1,766
Metadata
- Authors
- Hong, H., Lim, T., & Stein, J. C.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-02
- Volume
- 55
- Issue
- 1
- Pages
- 265-295
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2890844091
- Cited by
- 2,611
- References
- 1
- FWCI
- 71.21
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hong, H., Lim, T., & Stein, J. C. (2000). Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies. The Journal of Finance. https://doi.org/10.1111/0022-1082.00206
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
