Supplement to "Competition, Profitability, and Risk Premia"

31 Pages Posted: 21 Sep 2019 Last revised: 30 Sep 2019

See all articles by Winston Dou

Winston Dou

The Wharton School, University of Pennsylvania

Yan Ji

Hong Kong University of Science & Technology (HKUST)

Wei Wu

Texas A&M University - Department of Finance

Date Written: September 13, 2019

Abstract

This is the supplemental material to the paper titled "Competition, Profitability, and Risk Premia." It includes additional empirical, theoretical, and quantitative results. It also includes illustration for the numerical algorithm for our model solution.

Keywords: Product market friction, Habit, Competition intensity, Gross profitability premium, Time-varying risk premium

JEL Classification: G12, L13, O33, C73

Suggested Citation

Dou, Winston and Ji, Yan and Wu, Wei, Supplement to "Competition, Profitability, and Risk Premia" (September 13, 2019). Available at SSRN: https://ssrn.com/abstract=3453081 or http://dx.doi.org/10.2139/ssrn.3453081

Winston Dou (Contact Author)

The Wharton School, University of Pennsylvania ( email )

2318 Steinberg Hall - Dietrich Hall
3620 Locust Walk
Philadelphia, PA 19104
United States

Yan Ji

Hong Kong University of Science & Technology (HKUST) ( email )

Clearwater Bay
Kowloon, 999999
Hong Kong

Wei Wu

Texas A&M University - Department of Finance ( email )

360M Wehner
College Station, TX 77843-4218
United States
979-862-8092 (Phone)

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