@article {19484,
	title = {Comovement},
	journal = {Journal of Financial Economics},
	volume = {75},
	number = {2},
	year = {2005},
	pages = {283-317},
	abstract = {Building on Vijh (Rev. Financial Stud. 7 (1994)), we use additions to the S\&amp;P 500 to distinguish two views of return comovement: the traditional view, which attributes it to comovement in news about fundamental value, and an alternative view, in which frictions or sentiment delink it from fundamentals. After inclusion, a stock{\textquoteright}s beta with the S\&amp;P goes up. In bivariate regressions which control for the return of non-S\&amp;P stocks, the increase in S\&amp;P beta is even larger. These results are generally stronger in more recent data. Our findings cannot easily be explained by the fundamentals-based view and provide new evidence in support of the alternative friction- or sentiment-based view.
Copyright 2004 Elsevier B.V. All rights reserved.
},
	author = {Nicholas Barberis and Andrei Shleifer and Jeffrey Wurgler}
}
