Engsted, Tom; Tanggaard, Carsten - Ehrvervøkonomisk Institut, Institut for Økonomi - 2002
US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...