Information‐driven stock price comovement
通过观察公司对的股价联动变化，推断投资者消费了哪些信息并将其纳入资产价格。研究发现，当投资者消费与许多其他公司收益协方差高的定性信息时，股价联动更强；且总体相关性下降时，对这些高协方差信号的需求也下降。
Abstract By observing changes in stock price comovement for individual firm‐pairs, we can infer which types of information are consumed and incorporated into asset prices. Consistent with the predictions of the information‐driven comovement hypothesis, we find that stock price comovement is stronger when investors consume qualitative information about firms whose payoffs covary strongly with many others. Furthermore, as aggregate correlation falls, so does the demand for these high‐covariance signals. Our findings imply that investor information consumption choices are shaped by a market for information and that these choices can sometimes drive excessive stock price comovement.