Do Common Stocks Have Perfect Substitutes? Product Market Competition and the Elasticity of Demand for Stocks
利用1990-1991年纽约证券交易所144只股票的所有订单数据，估计股票需求曲线，发现竞争较弱行业的股票因替代品更接近而需求弹性更大，并通过海湾战争冲击和标普500指数加入验证。
Though common stocks are one of the most important assets in an economy, little is known about their demand curves. I estimate demand curves for 144 NYSE stocks using a unique data set of all orders, including off-equilibrium orders, during three months in 1990 and 1991. Connecting asset pricing with industrial organization, I find that stocks of firms in less competitive industries are more elastic because they have closer substitutes than stocks in more competitive industries. Tests that exploit the 1991 Gulf War shock and S&P 500 Index additions confirm these results. © 2014 The President and Fellows of Harvard College and the Massachusetts Institute of Technology