We investigate the impact of product market competition on firms' systematic risk. Using a measure of total product market similarity, we document a strong negative link between market power and market betas. There is a more than threefold increase in the effect during the most recent...

In the discussion on the relationship between spot and forward prices in electricity markets, the equilibrium approach has an unambiguous prevalence. It is the relative recency of this market that gives rise to the question of how precisely forward prices converge to the spot prices. We decide...

The linear relation between risk and rate of return in Vietnam stock market is tested for the falling period 2007-2009 based on adjusted-price data. As a result, the failure of the test shows that VN-Index, conventionally regarded as the "market portfolio", is not mean-variance efficient to the...

This paper analyzes the optimal investment strategy of two firms confronted with the option to adopt a new technology. I add two key features: location and learning. A firm gains relative advantage entirely due to its geographic placement - this is the location benefit. Firms also learn from the...

This paper studies how expected returns interact with product market competition. We present a model in which product market competition is jointly captured by the industry concentration and the average markup. We then provide empirical evidence consistent with three channels that explain the...

This paper derives the formulae for calculating the tilted annuity for which the net present value of the post-tax cash flows over the life of the asset is equal to the initial investment. The tilted annuity differs from a constant annuity in that it increases or decreases over the life of the...

We look at the association between the price of a cryptocurrency and the secondary market prices of the hardware used to mine it. We find the prices of the most efficient Graphical Processing Units (GPUs) for Ethereum mining are significantly positively correlated with the daily price returns to...

We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...

We develop an endogenous growth model with heterogeneous firms facing financial frictions, where misallocation emerges explicitly as a crucial endogenous state variable and plays a significant role in driving economic growth through the valuation channel. The model illustrates that transient...

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...