Analyst coverage network and stock return comovement in emerging markets
Author
dc.contributor.author
Marcet Orellana, Francisco
Admission date
dc.date.accessioned
2018-07-03T14:34:31Z
Available date
dc.date.available
2018-07-03T14:34:31Z
Publication date
dc.date.issued
2017
Cita de ítem
dc.identifier.citation
Emerging Markets Review, 32 (2017): 1–27
es_ES
Identifier
dc.identifier.other
10.1016/j.ememar.2017.05.002
Identifier
dc.identifier.uri
https://repositorio.uchile.cl/handle/2250/149407
Abstract
dc.description.abstract
This paper shows that analyst coverage networks (ACN) play an important role in explaining stock return commonalities across Latin American stocks. First, pairs of stocks connected by analysts exhibit higher comovement and excess comovement. Second, firms easily traded by foreign investors are more strongly affected by common coverage. Third, international analysts are an important source of across-country excess comovement. Finally, by creating the network at the brokerage house level and exploiting exogenous changes in ACN around the MSCI LATAM Index reviews, this study addresses endogeneity concerns related to the effect of ACN on commonalities.
es_ES
Patrocinador
dc.description.sponsorship
Becas Chile (CONICYT)
University of Chile, School of Economics and Business