Impact of Product Market Competition on Expected Returns
| dc.contributor.author | Liu, Chung-Shin | |
| dc.date.accessioned | 2012-04-16T21:55:21Z | |
| dc.date.available | 2012-07-27T17:15:52Z | |
| dc.date.issued | 2011-12 | |
| dc.description | x, 94 p. : ill. (some col.) | en_US |
| dc.description.abstract | This paper examines how competition faced by firms affects asset risk and expected returns. Contrary to Hou and Robinson's (2006) findings, I find that cross-industry variation in competition, as measured by the concentration ratio, is not a robust determinant of unconditional expected stock returns. In contrast, within-industry competition, as measured by relative price markup, is positively related to expected stock returns. Moreover, this relation is not captured by commonly used models of expected returns. When using the Markov regime-switching model advocated by Perez-Quiros and Timmermann (2000), I test and find support for Aguerrevere's (2009) recent model of competition find risk dynamics. In particular, systematic risk is greater in more competitive industries during bad times and greater in more concentrated industries during good times. In addition, real investment by firms facing greater competition leads real investment by firms facing less competition, supporting Aguerrevere's notion that less competition results in higher growth options and hence higher risk in good times. | en_US |
| dc.description.sponsorship | Committee in charge: Dr. Roberto Gutierrez, Chair; Dr. Roberto Gutierrez, Advisor; Dr. Diane Del Guercio, Inside Member; Dr. John Chalmers， Inside Member； Dr. Bruce Blonigen， Outside Member | en_US |
| dc.identifier.uri | https://hdl.handle.net/1794/12143 | |
| dc.language.iso | en_US | en_US |
| dc.publisher | University of Oregon | en_US |
| dc.relation.ispartofseries | University of Oregon theses, Dept. of Finance, Ph. D., 2011; | |
| dc.rights | rights_reserved | en_US |
| dc.subject | Finance | en_US |
| dc.subject | Social sciences | en_US |
| dc.subject | Expected returns | en_US |
| dc.subject | Conditional model | en_US |
| dc.subject | Empirical asset pricing | en_US |
| dc.subject | Market competition | en_US |
| dc.subject | Market power | en_US |
| dc.title | Impact of Product Market Competition on Expected Returns | en_US |
| dc.type | Thesis | en_US |