This paper constructs portfolios of stocks with superior investment performance relative to a general market index. Portfolios are formed with different levels of sensitivity to cross-sectional return dispersion among all stocks in the market. We find that, for U.S stock returns in the period...

Suppliers often make proactive investments in capacity to strategically position themselves to win a contract with a monopolist buyer. Such investments reduce the suppliers' variable costs of serving the buyer's demand. We show that an auction mechanism does not always benefit the...