Firm-level stock returns exhibit comovement above that in fundamentals, and the gap tends to be higher in developing … information-based model demonstrates that the correlation of beliefs implied by analyst forecasts leads to return correlations … broadly in line with the data, both in levels and across countries - the correlation between predicted and actual is 0.63. Our …

A number of studies have identifed patterns of positive correlation of returns, or comovement, among different traded … securities. We distinguish three views of such comovement. The traditional 'fundamentals' view explains the comovement of …. 'Category-based' comovement occurs when investors classify different securities into the same asset class and shift resources in …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …