We investigate the comovement among Case-Shiller Home Price Indices for 14 metropolitan areas between 1992 and 2008. We define the portion of this comovement deemed as fundamental (excessive) as the covariation that can (cannot) be attributed to common fundamental factors directly influencing...

This study analyzes the reaction of mutual fund investors to past fund performance. We analyze separately institutional and retail funds as well as funds with different investment objectives. Based on data on domestic equity funds from 1994 to 2003, we show that the reaction is more linear than...

This paper is an empirical investigation of the excess comovement of industry indexes in the U.S. stock market over the period January 1973 to December 2001. We define excess comovement as the correlation between two assets beyond what could be explained by fundamental factors. In our analysis,...