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SUMMARY:Competition\, No-Arbitrage\, and Systematic Risk - Yuri Tserlukevi
 ch (Arizona State University) \, W. P. Carey Finance\, Associate Professor
DTSTART:20190307T130000Z
DTEND:20190307T140000Z
UID:TALK109141@talks.cam.ac.uk
CONTACT:CERF/CF Admin
DESCRIPTION:Abstract: We study how strategic interaction among firms affec
 ts their systematic risk. Competition effectively imposes bounds on profit
 ability within each economic sector because competing firms simultaneously
  scale production up or down in response to common demand shocks. We show 
 that no arbitrage implies that exposure to systematic risk factors must be
  zero at these bounds\, leading to an inverse U-shaped relation between sy
 stematic risk and sector profitability. In general\, competition reduces s
 ystematic risk and attenuates size related asset pricing anomalies. Using 
 trade flows between economic sectors\, we construct a new measure of compe
 tition based on each sector's dependence on input factors and find broad e
 mpirical support for the theoretical predictions.
LOCATION:Castle Teaching Room\, Cambridge Judge Business School
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