Comovement

• 成果类型: Article
• 署名作者: Barberis, N; Shleifer, A; Wurgler, J
• 署名单位: Harvard University; Yale University; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.04.003
• 发表日期: 2005
• 页码: 283-317
• 关键词: comovement; beta; Index inclusion

摘要

Building on Vijh (Rev. Financial Stud. 7 (1994)), we use additions to the S&P 500 to distinguish two views of return comovement: the traditional view, which attributes it to comovement in news about fundamental value, and an alternative view, in which frictions or sentiment delink it from fundamentals. After inclusion, a stock's beta with the S&P goes up. In bivariate regressions which control for the return of non-S&P stocks, the increase in S&P beta is even larger. These results are generally stronger in more recent data. Our findings cannot easily be explained by the fundamentals-based view and provide new evidence in support of the alternative friction- or sentiment-based view. (C) 2004 Elsevier B.V. All rights reserved.