Idiosyncratic Volatility and Product Market Competition

José-Miguel Gaspar, M. Massa
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引用次数: 447

Abstract

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.
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特质波动率与产品市场竞争
本文研究了企业竞争环境与其股票收益的特殊波动率之间的联系。我们发现,拥有较高市场支配力的企业,或建立在集中型行业的企业,其特质波动性较低。我们假设竞争以两种不同且相互关联的方式影响波动性。市场支配力是一种对冲工具,可以消除特殊的波动。同时,高度的市场支配力意味着投资者的信息不确定性较低,从而降低回报波动性。我们发现这两种效应都有强有力的支持。我们的研究结果有助于理解特质波动率的近期趋势,并证实了股票市场表现与企业竞争环境之间的重要联系。
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