Product differentiation and systematic risk: theory and empirical evidence
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Turan G. Bali & Nusret Cakici & Xuemin (Sterling) Yan & Zhe Zhang, 2005. "Does Idiosyncratic Risk Really Matter?," Journal of Finance, American Finance Association, vol. 60(2), pages 905-929, April.
- Ang, Andrew & Hodrick, Robert J. & Xing, Yuhang & Zhang, Xiaoyan, 2009.
"High idiosyncratic volatility and low returns: International and further U.S. evidence,"
Journal of Financial Economics, Elsevier, vol. 91(1), pages 1-23, January.
- Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2008. "High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence," NBER Working Papers 13739, National Bureau of Economic Research, Inc.
- José-Miguel Gaspar, 2006. "Idiosyncratic Volatility and Product Market Competition," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3125-3152, November.
- Ayşe İmrohoroğlu & Şelale Tüzel, 2014.
"Firm-Level Productivity, Risk, and Return,"
Management Science, INFORMS, vol. 60(8), pages 2073-2090, August.
- Ayse Imrohoroglu & Selale Tuzel, 2011. "Firm Level Productivity, Risk, and Return," 2011 Meeting Papers 21, Society for Economic Dynamics.
- repec:bla:jfinan:v:59:y:2004:i:6:p:2577-2603 is not listed on IDEAS
- Nguyen, Giao X. & Swanson, Peggy E., 2009. "Firm Characteristics, Relative Efficiency, and Equity Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 213-236, February.
- Chad Syverson, 2004.
"Product Substitutability and Productivity Dispersion,"
The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 534-550, May.
- Chad Syverson, 2003. "Product Substitutability and Productivity Dispersion," NBER Working Papers 10049, National Bureau of Economic Research, Inc.
- Fu, Fangjian, 2009. "Idiosyncratic risk and the cross-section of expected stock returns," Journal of Financial Economics, Elsevier, vol. 91(1), pages 24-37, January.
- Jonathan B. Berk & Richard C. Green & Vasant Naik, 1999.
"Optimal Investment, Growth Options, and Security Returns,"
Journal of Finance, American Finance Association, vol. 54(5), pages 1553-1607, October.
- Jonathan Berk & Richard C. Green & Vasant Naik, "undated". "Optimal Investment, Growth Options and Security Returns," GSIA Working Papers 64, Carnegie Mellon University, Tepper School of Business.
- Jonathan Berk & Richard C. Green & Vasant Naik, 1998. "Optimal Investment, Growth Options, and Security Returns," NBER Working Papers 6627, National Bureau of Economic Research, Inc.
- Felipe L. Aguerrevere, 2009. "Real Options, Product Market Competition, and Asset Returns," Journal of Finance, American Finance Association, vol. 64(2), pages 957-983, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chen Chen & Li Li & Mary L.Z. Ma, 2014. "Product market competition and the cost of equity capital: evidence from China," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 21(3), pages 227-261, September.
- Liu, Yong-Chin & Chen, Hsiang-Ju & Su, Ming-Chang, 2017. "Product market competition, type of mergers, and post-merger performance in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 46(PB), pages 292-308.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Nam, Kiseok & Khaksari, Shahriar & Kang, Moonsoo, 2017.
"Trend in aggregate idiosyncratic volatility,"
Review of Financial Economics, Elsevier, vol. 35(C), pages 11-28.
- Kiseok Nam & Shahriar Khaksari & Moonsoo Kang, 2017. "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 11-28, November.
- Holger Kraft & Eduardo Schwartz & Farina Weiss, 2018. "Growth options and firm valuation," European Financial Management, European Financial Management Association, vol. 24(2), pages 209-238, March.
- Kraft, Holger & Schwartz, Eduardo S. & Weiss, Farina, 2017. "Growth options and firm valuation," SAFE Working Paper Series 6, Leibniz Institute for Financial Research SAFE, revised 2017.
- Holger Kraft & Eduardo S. Schwartz & Farina Weiss, 2013. "Growth Options and Firm Valuation," NBER Working Papers 18836, National Bureau of Economic Research, Inc.
- Guo, Hui & Savickas, Robert, 2010. "Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1637-1649, July.
- Liu, Hao & Zhang, Qun, 2021. "Firm age and realized idiosyncratic return volatility in China: The role of short-sales constraints," International Review of Financial Analysis, Elsevier, vol. 75(C).
- Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
- Hassen Raîs, 2016. "Idiosyncratic Risk and the Cross-Section of European Insurance Equity Returns," Post-Print hal-01764088, HAL.
- Vozlyublennaia, Nadia, 2013. "Do firm characteristics matter for the dynamics of idiosyncratic risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 35-46.
- Wang, Li-Hsun & Lin, Chu-Hsiung & Kang, Jui-Heng & Fung, Hung-Gay, 2016. "Idiosyncratic volatility and excess Return: Evidence from the Greater China region," Finance Research Letters, Elsevier, vol. 19(C), pages 126-129.
- Bin Liu & Amalia Di Iorio, 2016. "The pricing of idiosyncratic volatility: An Australian study," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 353-375, May.
- Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
- Bin Liu & Monica Tan & Marie-Anne Cam, 2019. "Reinvestigate the Bid–Ask Bounce Effect and Pricing of Idiosyncratic Volatility: The Case of the Australian Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-23, March.
- Amit Goyal, 2012. "Empirical cross-sectional asset pricing: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(1), pages 3-38, March.
- Zhiyao Chen & Ilya A. Strebulaev & Yuhang Xing & Xiaoyan Zhang, 2021. "Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation," Management Science, INFORMS, vol. 67(5), pages 2751-2772, May.
- Rossi, Francesco, 2012.
"UK cross-sectional equity data: The case for robust investability filters,"
European Economic Letters, European Economics Letters Group, vol. 1(1), pages 6-13.
- Rossi, Francesco, 2012. "U.K. cross-sectional equity data: The case for robust investability filters," MPRA Paper 43312, University Library of Munich, Germany, revised Nov 2012.
- Tan, Monica & Liu, Bin, 2016. "CEO's managerial power, board committee memberships and idiosyncratic volatility," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 21-30.
- Nusret Cakici & Isil Erol & Dogan Tirtiroglu, 2014. "Tracking the Evolution of Idiosyncratic Risk and Cross-Sectional Expected Returns for US REITs," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 415-440, April.
- Xiaoli Wang, 2017. "Will firm quality determine the relationship between stock return and idiosyncratic volatility? A new investigation of idiosyncratic volatility," Journal of Asset Management, Palgrave Macmillan, vol. 18(5), pages 388-404, September.
- Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
More about this item
Keywords
Stock Returns; Price Differentiation; Product Market Competition; Product Development; Idiosyncratic Volatility; Research and Development; Counter-Cyclical Markups; Price of Risk; Price-Cost Margin; Investment; Innovation;All these keywords.
JEL classification:
- L25 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Performance
- L16 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Industrial Organization and Macroeconomics; Macroeconomic Industrial Structure
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- O31 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Innovation and Invention: Processes and Incentives
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2012-01-25 (Business Economics)
- NEP-COM-2012-01-25 (Industrial Competition)
- NEP-IND-2012-01-25 (Industrial Organization)
- NEP-INO-2012-01-25 (Innovation)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:35504. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.