The Comovement of Stock Prices
检验个股价格联动是否能用经济基本面解释，发现存在超额联动，且部分可由公司规模和机构持股比例解释，暗示市场分割。
We test whether comovements of individual stock prices can be justified by economic fundamentals. This is a test of the present value model of security valuation with the constraint that changes in discount rates depend only on changes in macroeconomic variables. Then, stock prices of companies in unrelated lines of business should move together only in response to changes in current or expected future macroeconomic conditions. Using a latent variable model to capture unobserved expectations, we find excess comovement of returns. We show that this excess comovement can be explained in part by company size and degree of institutional ownership, suggesting market segmentation.