Template-Type: ReDIF-Article 1.0
Author-Name: Huaigang Long
Author-Email: longhuaigang@zufe.edu.cn
Author-Name: Rui Zhu
Author-Email: zhurui499@163.com
Author-Name: Congcong Wang
Author-Email: wangcongcong@zufe.edu.cn
Author-Name: Zhongwei Yao
Author-Email: yaozhongwei@zufe.edu.cn
Author-Name: Adam Zaremba
Author-Email: a.zaremba@mbs-education.com
Title: The gap between you and your peers matters: The net peer momentum effect in China
Abstract: We propose a new return predictive signal: the net peer momentum (NPM), defined as the excess return on analyst-connected firms (CF) over the focal firm. Examining its pricing effect in the Chinese equity market reveals a robust cross-sectional relationship: stocks with high NPM significantly outperform those with low NPM. Accordingly, a long-short strategy based on NPM quintiles earns over 1% per month. While both CF and NPM offer incremental pricing power, NPM exhibits a stronger effect, as it incorporates both information about peer firms and the degree of investor underreaction to such information.
Keywords: Connected-firm momentum, Asset pricing, Chinese stock returns, analyst co-coverage
Journal: Modern Finance
Pages: 40-53
Volume: 3
Issue: 3
Year: 2025
Subtitle : 
File-URL: https://mf-journal.com/article/view/347
File-Format: text/xml
Handle: RePEc:bdy:modfin:v:3:y:2025:i:3:p:40-53:id:347