Competition, Markups, and Predictable Returns
通过构建一个包含寡头竞争和企业进入的一般均衡模型，研究了竞争与预期收益在时间序列和横截面上的关系，发现加成率越高，预期收益越高，并能解释1980年代中期以来行业集中度上升带来的宏观风险溢价和波动性增加。
Abstract This paper jointly examines the link between competition and expected returns in the time series and in the cross-section. To this end, we build a general equilibrium model where markups vary because of firm entry with oligopolistic competition. When concentration is high, markups are more sensitive to entry risk. We find that higher markups are associated with higher expected returns over time and across industries, in line with the data. The model can also quantitatively account for the persistent rise in aggregate risk premiums and macroeconomic volatility associated with the secular increase trend industry concentration since the mid-1980s.