Hossein Asgharian
Professor
Product market competition and stock return dependence
Författare
Summary, in English
We model the spillover effect between competing firms’ daily idiosyncratic stock returns, using spatial econometric techniques. Contagion effect from rival firms dominates competitive effect, and the net effect is larger from negative return shocks of rival firms than from positive ones. The net effect is strong for firms in product markets with low concentration and high product market fluidity.
Avdelning/ar
- Nationalekonomiska institutionen
Publiceringsår
2022
Språk
Engelska
Publikation/Tidskrift/Serie
Finance Research Letters
Volym
50
Dokumenttyp
Artikel i tidskrift
Förlag
Elsevier
Ämne
- Economics
Nyckelord
- Contagion and competitive effects
- Product market concentration
- Product market fluidity
- Return comovement
Status
Published
ISBN/ISSN/Övrigt
- ISSN: 1544-6123