Comovements in Stock Prices and Comovements in Dividends



    Search for more papers by this author
    • 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.


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.