Dynamic Collusion, Vertical Competition, and Systematic Risk

• 成果类型: Review; Early Access
• 署名作者: She, Guoman; Wei, K. C. John; You, Haifeng
• 署名单位: National University of Singapore; Hong Kong Polytechnic University; Tsinghua University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2024.04715
• 发表日期: 2026
• 关键词: dynamic collusion; vertical competition; discount rate exposure; Cost of equity capital

摘要

This paper empirically investigates how exposures of an industry's cash flows and stock returns to discount rate shocks are affected by the market concentration of its upstream and downstream industries. In the cross-section of U.S. industries, we find that industries' cash flows and stock returns are more negatively exposed to fluctuations in the aggregate discount rate if their upstream or downstream industries are more concentrated. These industries also have higher expected stock returns and costs of capital. Our study highlights the role of vertical competition in determining firm risk exposure and expected returns.