Asset Pricing with Entry and Imperfect Competition
作者： Erik Loualiche
DOI:
关键词: Marginal utility 、 Business 、 Stock (geology) 、 Capital asset pricing model 、 General equilibrium theory 、 Imperfect competition 、 Profit margin 、 Monopoly 、 Microeconomics 、 Profitability index
摘要: I study the implications of fluctuations in new firm creation across industries for asset prices and macroeconomic quantities. write a general equilibrium model with heterogeneous industries, allowing entry time variation markups. Firms entering an industry increase competition displace incumbents' monopoly rents. This mechanism is strongest that exhibit high profit margins elasticity innovation to cost entry. A positive shock aggregate increases marginal utility consumption --the price risk negative. Therefore, firms more exposure rents' displacement have higher expected excess returns. Using micro-level data on rates, trace out impact incumbent firms' profitability stock The effect types predicts. confirm priced: differential explains large fraction cross-industry
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