This paper studies how expected returns interact with product market competition. We present a model in which product market competition is jointly captured by the industry concentration and the average markup. We then provide empirical evidence consistent with three channels that explain the...

This paper analyzes the optimal investment strategy of two firms confronted with the option to adopt a new technology. I add two key features: location and learning. A firm gains relative advantage entirely due to its geographic placement - this is the location benefit. Firms also learn from the...

We analyze the quantitative asset-pricing implications of peers' strategic rivalry by embedding oligopolistic competition within an endowment economy. Rivalry intensity increases endogenously as the discount rate rises or expected growth declines, because peers care less about future...

We develop and estimate a dynamic oligopoly model of the passive mutual fund industry in which multiproduct asset management firms act as fund initiators and decide how many funds to launch in a given investment sector. Both mutual funds and management companies compete a la Cournot and take...

We investigate the impact of product market competition on firms' systematic risk. Using a measure of total product market similarity, we document a strong negative link between market power and market betas. There is a more than threefold increase in the effect during the most recent...

We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...

We develop an endogenous growth model with heterogeneous firms facing financial frictions, where misallocation emerges explicitly as a crucial endogenous state variable and plays a significant role in driving economic growth through the valuation channel. The model illustrates that transient...

This paper describes the use of the Faff (2015) pitching template to formulate a research concept into a formal research proposal. It outlines our experience in applying the various sections of the pitch template and the challenges experienced in doing so. Overall the adoption of the pitch...

In this paper, we analyze how tail risk impacts both asset prices and the optimal asset allocation. For this purpose, we consider an equilibrium model with investors exhibiting an empirically well-justifiable decreasing relative risk aversion (DRRA) and different investment horizons. In contrast...

In financial economics, numerous theoretical models explain the relationship between investment risk and return in the capital market, one of the most common being the Capital Asset Pricing Model (CAPM). After reviewing the literature in this area, this study discusses the theoretical background...