Increasing Returns and Fixed Market Shares

Collusive Market Structure Under Learning-By-Doing and Increasing Returns

Shares Outstanding and Cross-Sectional Returns

We examine the cross-sectional relation between the twelve-month real change in shares outstanding and stock returns. During the post-1970 time period, change in shares outstanding exhibits a strong cross-sectional ability to predict stock returns. This predictive ability is typically stronger than the predictive ability of size, book-to-market, or momentum. Our finding is related to research t...

Increasing market efficiency: Evolution of cross-correlations of stock returns

We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origi...

“Slimming” of power law tails by increasing market returns

We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [20] that the distribution of returns is a power law with exponent less than 1, in contradiction with empirical data. The idea is that the price fluctuations associated with bubbles must on average grow with the mean market return r. When r is larger than the discount rate rδ , the...

Increasing Returns and Economic Efficiency

This paper argues that, from the viewpoint of Pareto optimality, the industries with increasing returns are under-expanded relative to those without increasing returns and those with higher degrees of increasing returns are under-expanded relative to those with lower degrees. Ignoring administrative and indirect (such as rent-seeking) costs, subsidies on goods produced under conditions of (high...