Cowles Foundation, Yale University. The author is indebted to Bryan Allworthy, George Bulkley, Peter Garber, Fumiko Konya, Rudolph Richter, Anna Schwartz, Ian Tonks, and many others for help with data collection. Wooheon Rhee and Thomas Schwingeler provided research assistance. This research was supported by the National Science Foundation.
Comovements in Stock Prices and Comovements in Dividends
Article first published online: 30 APR 2012
1989 The American Finance Association
The Journal of Finance
Volume 44, Issue 3, pages 719–730, July 1989
How to Cite
SHILLER, R. J. (1989), Comovements in Stock Prices and Comovements in Dividends. The Journal of Finance, 44: 719–730. doi: 10.1111/j.1540-6261.1989.tb04387.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
The comovements in real stock prices between the U.K. and the U.S. appear to be too large to be accounted for in terms of the comovements of real dividends between the countries even after consideration of the possibility of information pooling. When consideration is made of the comovements of real interest rates between the countries, there is weaker evidence of excess comovement of price.