Abstract
We argue that not only the standard risk factors (size, book-to-market ratio) affect the average stock returns, but also the structure of the product market itself. We address the issue of competition on the Australian stock market, comparing it to the US stock market. In contrast o the US market, we find a significant evidence that companies operating in highly concentrated industries generate higher risk-adjusted returns than those operating in less concentrated (more competitive) industries. Regarding the standard risk factors, we find that average returns are positively related to the size of the company, and negatively related to book-to-market, which is the opposite to the US stock market as documented in previous studies.
| Original language | English |
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| Title of host publication | International proceedings of economics development and research |
| Editors | Juan Su |
| Place of Publication | Singapore |
| Publisher | International Association of Computer Science and Information Technology |
| Pages | 55-60 |
| Number of pages | 6 |
| Volume | 2 |
| ISBN (Print) | 9789810886417 |
| Publication status | Published - 2011 |
| Event | International Conference on Economics, Business and Management - Manila, Philippines Duration: 4 Dec 2010 → 5 Dec 2010 |
Conference
| Conference | International Conference on Economics, Business and Management |
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| City | Manila, Philippines |
| Period | 4/12/10 → 5/12/10 |
Keywords
- concentration
- stock returns