Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees’ asset pricing model developed by Cochrane et al. (2007) guides our experimental design and its predictions serve as our source of hypotheses. The model makes time-series and cross-section return predictions following a shock to one of the two assets’ dividend distributions. As the model predicts, we observe (1) positive contemporaneous correlation between the two assets, (2) positive autocorrelation in the shocked asset, and (3) time-series and cross-sectional return predictability from the dividend-price ratio. In line with the rational foundations of the model, the model's predictions have stronger support in markets with relatively sophisticated agents.

通过实验室实验，我们调查了两个风险资产之间是否可能出现联动，尽管它们的基本原理没有关联。Cochrane等人开发的“两棵树”资产定价模型。（2007年）指导了我们的实验设计，其预测是我们假设的来源。在对两种资产的股利分配之一进行震荡之后，该模型将进行时间序列和横截面回报预测。正如模型所预测的，我们观察到（1）两种资产之间的同时期正相关，（2）避险资产中的正自相关，以及（3）从股息价格比率得出的时间序列和横截面回报可预测性。与模型的合理基础一致，模型的预测在代理商相对成熟的市场中提供了更强大的支持。