Asymmetric competition, risk, and return distribution

Arbeitspapier

We propose a parsimonious statistical model of firm competition where structural differences in the strength of competitive pressure and the magnitude of return fluctuations above and below the system-wide benchmark translate into a skewed Subbotin or asymmetric exponential power (AEP) distribution of returns to capital. Empirical evidence from US data illustrates that the AEP distribution compares favorably to popular alternative models such as the symmetric or asymmetric Laplace density in terms of goodness of fit when entry and exit dynamics of markets are taken into account.

Object Details

• ISBN: 978-3-943153-66-8
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BERG Working Paper Series ; No. 145

Classification and Topics

• Classification: Wirtschaft ; Firm Behavior: Theory ; Market Structure, Firm Strategy, and Market Performance: General ; General Aggregative Models: General ; Hypothesis Testing: General
• Subject: return on capital ; maximum entropy ; asymmetric Subbotin distribution

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mundt, Philipp ; Oh, Ilfan
• Event: Veröffentlichung
• (who): Bamberg University, Bamberg Economic Research Group (BERG)
• (where): Bamberg
• (when): 2019

Further information

• Handle: http://hdl.handle.net/10419/193908
• Last update: 10.03.2025, 11:43 AM CET