G2TT
来源类型Discussion paper
规范类型论文
来源IDDP4883
DP4883 On the Community Patent
Steffen Hoernig
发表日期2005-01-23
出版年2005
语种英语
摘要This Paper investigates the link between a firm?s competitive environment and the idiosyncratic volatility of its stock returns. We find that firms enjoying high market power, or established in concentrated industries, have lower idiosyncratic volatility. We posit that competition affects volatility in two distinct and inter-related ways. Market power works as a hedging instrument that smoothes out idiosyncratic fluctuations. At the same time, a high degree of market power implies lower information uncertainty for investors and therefore lower return volatility. We find strong support for both effects. Our results contribute to the understanding of recent trends of idiosyncratic volatility, and confirm the important link between stock market performance and the competitive environment of firms.
主题Financial Economics
关键词Idiosyncratic volatility Competition Market powers Uncertainty
URLhttps://cepr.org/publications/dp4883
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/533787
推荐引用方式
GB/T 7714
Steffen Hoernig. DP4883 On the Community Patent. 2005.
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