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Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies

https://doi.org/10.1111/0022-1082.00206
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Firm characteristics and analyst following
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Evidence that stock prices do not fully reflect the implications of current earnings for future earnings
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Estimating betas from nonsynchronous data
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Constraints on short-selling and asset price adjustment to private information
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Investment analysis and price formation in securities markets
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Commonality in the determinants of expected stock returns
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Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth…
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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
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Risk, Return, and Equilibrium: Empirical Tests
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NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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An Anatomy of Trading Strategies
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Investment Analysis and the Adjustment of Stock Prices to Common Information
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Investor Psychology and Security Market Under‐ and Overreactions
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Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism?
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A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets
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Investor Reaction to Salient News in Closed‐End Country Funds
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International Momentum Strategies
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A Simple Model of Capital Market Equilibrium with Incomplete Information
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Stock Prices and the Supply of Information
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The Cross-Section of Expected Stock Returns
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Contrarian Investment, Extrapolation, and Risk
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Multifactor Explanations of Asset Pricing Anomalies
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Do Brokerage Analysts' Recommendations Have Investment Value?
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Momentum Strategies
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Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium?
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Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Effects of managerial overconfidence on analyst recommendations
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Revisiting disposition effect and momentum: a quantile regression perspective
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Do record earnings affect market reactions to earnings news?
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Accounting information and left-tail risk
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Fundamental Strength and the 52-Week High Anchoring Effect
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Investor sophistication, investor sentiment, and cash-based operating profitability
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Feasible momentum strategies: Evidence from the Swiss stock market
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The 52-week high strategy and information uncertainty
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Empirical cross-sectional asset pricing: a survey
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Firm ratings, momentum strategies, and crises: evidence from the US and Taiwanese stock markets
inferred← citeshttps://doi.org/10.1007/s11408-013-0215-8openalex-snapshot
Momentum and macroeconomic state variables
inferred← citeshttps://doi.org/10.1007/s11408-016-0268-6openalex-snapshot
Beating the DAX, MDAX, and SDAX: investment strategies in Germany
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Trading strategies based on past returns: evidence from Germany
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Risks and rewards for momentum and reversal portfolios
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Are intraday reversal and momentum trading strategies feasible? An analysis for German blue chip stocks
inferred← citeshttps://doi.org/10.1007/s11408-020-00371-3openalex-snapshot
Product market competition and intermediate-term momentum
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A comprehensive investigation into style momentum strategies in China
inferred← citeshttps://doi.org/10.1007/s11408-022-00417-8openalex-snapshot
Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?
inferred← citeshttps://doi.org/10.1007/s11408-024-00455-4openalex-snapshot
Hidden neighbours: extracting industry momentum from stock networks
inferred← citeshttps://doi.org/10.1007/s11747-010-0242-1openalex-snapshot
Is customer satisfaction a relevant metric for financial analysts?
inferred← citeshttps://doi.org/10.1007/s12197-008-9035-5openalex-snapshot
Market reactions to announcements to expense options
inferred← citeshttps://doi.org/10.1007/s12197-008-9072-0openalex-snapshot
Autocorrelation, return horizons, and momentum in stock returns
inferred← citeshttps://doi.org/10.1007/s12197-009-9075-5openalex-snapshot
Contrarian strategies and investor overreaction under price limits
inferred← citeshttps://doi.org/10.1007/s12197-011-9182-yopenalex-snapshot
Daily momentum profits with firm characteristics and investors’ optimism in the Taiwan market
inferred← citeshttps://doi.org/10.1007/s12197-021-09552-wopenalex-snapshot
Stock market reaction and adjustment speed to multiple announcements of accounting restatements
inferred← citeshttps://doi.org/10.1007/s40822-015-0015-8openalex-snapshot
Analyst coverage, syndicate structure, and loan contracts
inferred← citeshttps://doi.org/10.1007/s41060-026-01297-1openalex-snapshot
Measuring firm-level technological similarity from patent texts using semantic embeddings: a data-driven framework and financial market application
inferred← citeshttps://doi.org/10.1007/s41449-017-0061-zopenalex-snapshot
Decision processes in professional investors: Does expertise guard against judgmental biases?
inferred← citeshttps://doi.org/10.1007/s42521-026-00184-5openalex-snapshot
Social media discussion and short-horizon stock returns: evidence from a retail coordination episode
inferred← citeshttps://doi.org/10.1016/b978-0-08-092652-0.00009-1openalex-snapshot
Active Management in Mostly Efficient Markets: A Survey of the Academic Literature
inferred← citeshttps://doi.org/10.1016/b978-0-08-092652-0.00022-4openalex-snapshot
Bibliography
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The Evolution of Financial Analysts’ Forecasts for Asian REITs and Real Estate Companies
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Another Look at Financial Analysts’ Forecasts Accuracy: Recent Evidence From Eastern European Frontier Markets
inferred← citeshttps://doi.org/10.1016/b978-0-12-811252-6.00010-4openalex-snapshot
Did Security Analysts Overreact During the Global Financial Crisis? Canadian Evidence
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Active management in mostly efficient markets: a survey of the academic literature
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Complex Evolutionary Systems in Behavioral Finance
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References
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Smart Betas: Theory and Construction11The author is grateful to Marcello Colasante, Francesco Minotti and Alberto Santangelo.
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Psychology-Based Models of Asset Prices and Trading Volume
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Idiosyncratic information and the cost of equity capital: A meta-analytic review of the literature
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Do analysts follow emerging economy firms with higher intangible assets? Empirical evidence from Egypt
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Price momentum and the premium for meeting or beating analysts' forecasts of earnings
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Is the European Union Emissions Trading Scheme (EU ETS) informationally efficient? Evidence from momentum-based trading strategies
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A novel multimodal cross-attention method for corporate financial risk prediction
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Do brokerage houses add value? The market impact of UK sell-side analyst recommendation changes
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Do peer firms influence innovation?
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Why Muddy the Water? Short selling and the disclosure of proprietary information
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The decentralization enigma in DeFi: Impact of U.S. federal funds rate changes
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Macroeconomic risks, idiosyncratic risks and momentum profits
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The nexus of anomalies-stock returns-asset pricing models: The international evidence
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Trading halts and the advantage of institutional investors: Historical evidence from Borsa Istanbul
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Asset pricing anomalies: The case of dividends in the US for Sharia-compliant firms
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Weekdays vs. weekends: How reporting timing influences the sentiment of annual reports
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Modeling and estimation of synchronization in size-sorted portfolio returns
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Factor estimation using MCMC-based Kalman filter methods
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The physical foundation of economics
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The power of market mood — Evidence from an emerging market
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Trade openness and the informational efficiency of emerging stock markets
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Industry returns, market returns and economic fundamentals: Evidence for the United States
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R2 and idiosyncratic volatility: Which captures the firm-specific return variation?
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Activity strategies, information asymmetry, and bank opacity
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Dividend policy and investor pressure
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Herding for Profits: Market Breadth and the Cross-Section of Global Equity Returns
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Media effects matter: Macroeconomic announcements in the gold futures market
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Market instability and technical trading at high frequency: Evidence from NASDAQ stocks
inferred← citeshttps://doi.org/10.1016/j.econmod.2022.105910openalex-snapshot
Price overreaction to up-limit events and revised momentum strategies in the Chinese stock market
inferred← citeshttps://doi.org/10.1016/j.econmod.2023.106341openalex-snapshot
Lottery preference, short-sale constraint, and the salience effect: Evidence from China
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Effect of operating leverage on stock price crash risk: Evidence from China
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Impacts of implied volatility on stock price realized jumps
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Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence
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