Herding, Information Aggregation and Momentum E¤ects (Job Market Paper)

摘要：

Sell-side equity analysts at times have a tendency to herd toward the consensus estimate when making their quarterly earnings forecasts. I argue that such tendency to herd leads to inefficient aggregation of private information and consequently price momentum in stocks. I demonstrate that the Jegadeesh and Titman (1993) price momentum phenomenon is present among stocks only during those time periods when analysts who follow those stocks herd together. I nd that the herding tendency is stronger among smaller stocks, growth stocks, and stocks with higher share turnover ratio and more news media coverage. I provide diagnostics suggesting that my ndings are distinct from the earnings momentum effects, information uncertainty effects and liquidity risk already documented in the literature.

关键词： Momentum Effects Security Analysts Herding Behaviors

作者: Pengjie Gao

作者单位: Finance Department, Kellogg School of Management, Northwestern University, 2001 Sheridan Road, Evanston, IL 60208

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-83

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）