Working Paper Nr. 145 im volkswirtschaftlichen BERG-Verlag veröffentlicht!

Philipp Mundt and Ilfan Oh haben mit "Asymmetric competition, risk, and return distribution" Working Paper Nr. 145 im volkswirtschaftlichen BERG-Verlag Bamberg veröffentlicht!

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Abstract:

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.