Industry Concentration and Average Stock Returns
研究发现，集中度高的行业中的公司股票回报更低，即使控制了公司规模、账面市值比、动量等因素后依然如此。可能的解释是，高集中度行业的公司因进入壁垒而免受不可分散的困境风险，或因其创新较少而风险更低，从而预期回报较低。
ABSTRACT Firms in more concentrated industries earn lower returns, even after controlling for size, book‐to‐market, momentum, and other return determinants. Explanations based on chance, measurement error, capital structure, and persistent in‐sample cash flow shocks do not explain this finding. Drawing on work in industrial organization, we posit that either barriers to entry in highly concentrated industries insulate firms from undiversifiable distress risk, or firms in highly concentrated industries are less risky because they engage in less innovation, and thereby command lower expected returns. Additional time‐series tests support these risk‐based interpretations.