The Perception of Dependence, Investment Decisions, and Stock Prices
通过实验发现投资者用共同运动频率而非相关系数来感知股票回报的依赖关系，并据此做出投资决策，进而影响股票价格；实证表明高共同运动频率的股票存在回报溢价。
ABSTRACT How do investors perceive dependence between stock returns; and how does their perception of dependence affect investments and stock prices? We show experimentally that investors understand differences in dependence, but not in terms of correlation. Participants invest as if applying a simple counting heuristic for the frequency of comovement. They diversify more when the frequency of comovement is lower even if correlation is higher due to dependence in the tails. Building on our experimental findings, we empirically analyze U.S. stock returns. We identify a robust return premium for stocks with high frequencies of comovement with the market return.