Relative Firm Profitability and Stock Return Sensitivity to Industry-Level News
研究行业内企业相对盈利能力如何影响其股票收益对行业新闻的敏感度，发现盈利能力较低的企业对行业新闻更敏感，且这种关系在正面新闻和资本密集型行业中更显著。
ABSTRACT This study provides theory and evidence to demonstrate how relative firm profitability within an industry affects stock return sensitivity to industry-level news. Extending the Cournot and Bertrand competition models, we predict that (1) the returns of less profitable firms in an industry are more sensitive to industry-level news than those of more profitable firms, and that (2) this inverse relation between relative profitability and return sensitivity is more pronounced when there is positive rather than negative industry news, especially in industries with high (versus low) capital intensity. Using industry returns to proxy for industry-level news, we obtain empirical results consistent with these predictions. We further find that the two fundamental factors that contribute to profitability—cost efficiency and market share—each exhibit an effect similar to that of relative profitability in affecting return sensitivity. Our results remain unchanged after controlling for stock price movements attributable to common risk factors and firm-specific accounting information, and they hold over a range of robustness tests.