Market power and systematic risk

Hollstein, F., Prokopczuk, M. and Würsig, C. M. (2023) Market power and systematic risk. Financial Management. ISSN 1755-053X doi: 10.1111/fima.12438

Abstract/Summary

We examine the impact of product market competition on firms' systematic risk. Using a measure of total product market similarity, we document a strong negative relationship between market power and market betas. The effect more than triples in the most recent period of low competition. Anticompetitive mergers result in a significant reduction in market betas. Firms facing less competition seem to be partially insulated from systematic discount‐rate shocks. Lower equity costs therefore imply that market power is partly self‐perpetuating.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/114123
Identification Number/DOI	10.1111/fima.12438
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Uncontrolled Keywords	Economics and Econometrics, Finance, Accounting
Publisher	Wiley
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