Analysts, industries, and price momentum

Journal of Financial and Quantitative Analysis

Volumn 41, Issue 1, 2006, Pages 85-109

  Boni, Leslie ^a   Womack, Kent L ^b  

^a UNIVERSITY OF NEW MEXICO   (United States)

^b DARTMOUTH COLLEGE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33845298649     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/S002210900000243X     Document Type: Article

References (19)

1. Barber, B.; R. Lehavy; M. McNichols; and B. Trueman. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns." Journal of Finance, 56 (2001), 531-563.
2. Bhojraj, S.; C. M. C. Lee; and D. K. Oler. "What's My Line? A Comparison of Industry Classification Schemes for Capital Market Research." Journal of Accounting Research, 41 (2003), 745-774.
3. Chan, L. K. C.; N. Jegadeesh; and J. Lakonishok. "Momentum Strategies." Journal of Finance, 51 (1996), 1681-1713.
4. Conrad, J.; B. Cornell; W. R. Landsman; and B. R. Rountree. "How Do Analyst Recommendations Respond to Major News?" Journal of Financial and Quantitative Analysis, 41 (2006), 25-49.
5. D'Avolio, G. "The Market for Borrowing Stock." Journal of Financial Economics, 66 (2002), 271-306.
6. Fama, E. F., and K. R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56.
7. Fama, E. F., and K. R. French. "Industry Costs of Equity." Journal of Financial Economics, 43 (1997), 153-193.
8. Green, T. C. "The Value of Client Access to Analyst Recommendations." Journal of Financial and Quantitative Analysis, 41 (2006), 1-24.
9. Hong, H.; T. Lim; and J. C. Stein. "Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies." Journal of Finance, 55 (2000), 265-295.
10. Hong, H., and J. C. Stein. "A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets." Journal of Finance, 54 (1999), 2143-2184.
11. Hou, K. "Industry Information and the Lead-Lag Effect in Stock Returns." Working Paper, Ohio State Univ. (2004).
12. Ivkovic, Z., and N. Jegadeesh. "The Timing and the Value of Forecast and Recommendation Revisions." Journal of Financial Economics, 73 (2004), 433-463.
13. Jegadeesh, N.; J. Kim; S. D. Krische; and C. M. C. Lee. "Analyzing the Analysts: When Do Recommendations Add Value?" Journal of Finance, 59 (2004), 1083-1124.
14. Jegadeesh, N., and W. Kim. "Value of Analyst Recommendations: International Evidence." Working Paper, Emory Univ. (2004).
15. Jegadeesh, N., and S. Titman. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency." Journal of Finance, 48 (1993), 65-91.
16. King, B. F. "Market and Industry Factors in Stock Price Behavior." Journal of Business, 39 (1966), 139-190.
17. Moskowitz, T. J., and M. Grinblatt. "Do Industries Explain Momentum?" Journal of Finance, 54 (1999), 1249-1290.
18. Stickel, S. E. "The Anatomy of the Performance of Buy and Sell Recommendations." Financial Analysts Journal, 51 (1995), 25-39.
19. Womack, K. L. "Do Brokerage Analysts' Recommendations Have Investment Value?" Journal of Finance, 51 (1996), 137-167.