Strategic Investment and Industry Risk Dynamics

• 成果类型: Article
• 署名作者: Bustamante, M. Cecilia
• 署名单位: University System of Maryland; University of Maryland College Park; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu067
• 发表日期: 2015
• 页码: 297
• 关键词: real options; cross-section; COMPETITION; exercise; equilibrium; preemption

摘要

This paper characterizes how firms' strategic interaction in product markets affects the industry dynamics of investment and expected returns. In imperfectly competitive industries, a firm's exposure to systematic risk is affected by both its own investment strategy and the investment strategies of its peers, so that the dynamics of its expected returns depend on the intraindustry value spread. In the model and the data, firms' betas and returns correlate more positively in industries with low value spread, low dispersion in operating markups, and low concentration.