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FAMA-MACBETH REGRESSION OF AVERAGE INDUSTRY-LEVEL RETURNS ON H(SALES) AND INDUSTRY AVERAGE CHARACTERISTICS.

Table 1 FAMA-MACBETH REGRESSION OF AVERAGE INDUSTRY-LEVEL RETURNS ON H(SALES) AND INDUSTRY AVERAGE CHARACTERISTICS.

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the upper quartile (interquartile range). The extremes of the lower and the upper whisker correspond to 2.5%- quantile and 97:5%-quantile, respectively. From the Table 1 and the box-plots we observe that H(Sales) is on average higher than H(Asset) and H(Equity) and exhibits a higher standard deviation. H(Sales) ranges between 0.09 (indicating a high degree of competition) and 0.90 (indicating strong concentration). The last three columns represent Pearson (above main diagonal) and Spearman (below main diagonal) correlation coefficients. H(Assets) and H(Equity) are very highly correlated (correlation greater than 0.9), while H(Sales) exhibits correlation with two other measures of approximately 0.7. For the analysis below we group industries into quintiles based on H(Sales). Industry Concentration Measures Figure 1. Box-plot for the summary statistics of industry concnetration measures.
the upper quartile (interquartile range). The extremes of the lower and the upper whisker correspond to 2.5%- quantile and 97:5%-quantile, respectively. From the Table 1 and the box-plots we observe that H(Sales) is on average higher than H(Asset) and H(Equity) and exhibits a higher standard deviation. H(Sales) ranges between 0.09 (indicating a high degree of competition) and 0.90 (indicating strong concentration). The last three columns represent Pearson (above main diagonal) and Spearman (below main diagonal) correlation coefficients. H(Assets) and H(Equity) are very highly correlated (correlation greater than 0.9), while H(Sales) exhibits correlation with two other measures of approximately 0.7. For the analysis below we group industries into quintiles based on H(Sales). Industry Concentration Measures Figure 1. Box-plot for the summary statistics of industry concnetration measures.
Figure 2. Industry concentration measure H(Sales) for sectors energy, materials, consumer discretionary, industrials, consumer staple, health care, financials, information technology, telecommunications, utilities and miscellaneous industrials plotted yearly from 1993 to 2007. H(Sales) is calculated as the sum of squared sales-based market shares of all firms in each industry in a given year and the averaging over the past three years.
Figure 2. Industry concentration measure H(Sales) for sectors energy, materials, consumer discretionary, industrials, consumer staple, health care, financials, information technology, telecommunications, utilities and miscellaneous industrials plotted yearly from 1993 to 2007. H(Sales) is calculated as the sum of squared sales-based market shares of all firms in each industry in a given year and the averaging over the past three years.
ABLE Ill. FAMA-MACBETH REGRESSION OF FIRM-LEVEL RETURNS ON H(SALES) AND FIRM CHARACTERISTICS.
ABLE Ill. FAMA-MACBETH REGRESSION OF FIRM-LEVEL RETURNS ON H(SALES) AND FIRM CHARACTERISTICS.
iV. INDUSTRY CONCENTRATION AND THE CROSS-SECTION OF AVERAGE STOCK RETURNS.
iV. INDUSTRY CONCENTRATION AND THE CROSS-SECTION OF AVERAGE STOCK RETURNS.
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BusinessEconomicsStock ReturnIndustry Concentration
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