Modeling the competitive process
Understanding the behavior of markets requires understanding not just the level of return but also its dynamics. The speed at which abnormal returns dissipate is one useful indicator of the competitive process. We model for US and Japanese firms the process of competition as reflected in the persistence of abnormal returns. While we find a similar aggregate distribution of firm persistence in both countries, we observe cross-national differences manifesting themselves in terms of inter-country differences in industry persistence. We find that both industry- and firm-specific factors influence firm persistence. Copyright © 2001 John Wiley & Sons, Ltd.
Volume (Year): 22 (2001)
Issue (Month): 4-5 ()
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- Richard R. Nelson, 1995. "Recent Evolutionary Theorizing about Economic Change," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 48-90, March.
- Fisher, Franklin M & McGowan, John J, 1983. "On the Misuse of Accounting Rates of Return to Infer Monopoly Profits," American Economic Review, American Economic Association, vol. 73(1), pages 82-97, March.
- Kormendi, Roger & Lipe, Robert, 1987. "Earnings Innovations, Earnings Persistence, and Stock Returns," The Journal of Business, University of Chicago Press, vol. 60(3), pages 323-345, July.
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