Industry concentration and average stock returns

• 成果类型: Article
• 署名作者: Hou, Kewei; Robinson, David T.
• 署名单位: University System of Ohio; Ohio State University; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00893.x
• 发表日期: 2006
• 页码: 1927-1956
• 关键词: BOOK-TO-MARKET; Expected returns; risk-factors; time-series; entry; INNOVATION; economies; Dividends; scale; size

摘要

Firms in more concentrated industries earn lower returns, even after controlling for size, book-to-market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in-sample cash flow shocks do not explain this finding. Drawing on work in industrial organization, we posit that either barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, or firms in highly concentrated industries are less risky because they engage in less innovation, and thereby command lower expected returns. Additional time-series tests support these risk-based interpretations.