Can industry regulators learn collusion structures from information-efficient asset markets?
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Date
Authors
Zimper, Alexander
Hassan, Shakill
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier
Abstract
This note combines a dynamic industrial organization model, in which an industry is subject to exogenous processes of market-size and collusion structure, with a consumption-based asset pricing model for the shares in the industry’s firms. Three main findings emerge for our model under the assumption of information-efficient asset markets. First, the volatility of a firm’s share price is exclusively driven by the volatility of the industry’s market-size. Second, the volatility of a firm’s price-dividend ratio is exclusively driven by the volatility of the industry’s collusion structure whereby high (resp. low) ratios indicate less (resp. more) collusion. Third, for non-volatile collusion structures the price-dividend ratio is constant across different collusion structures.
Description
Keywords
Cournot interaction, Collusion, Price-dividend ratio, Consumption-based asset pricing
Sustainable Development Goals
Citation
Alexander Zimper & Shakill Hassan, Can industry regulators learn collusion structures from information-efficient asset markets?, Economics Letters, vol. 116, no. 1, pp. 1-4 (2012), doi: 10.1016/j.econlet.2012.01.002.