Industry classification, industry concentration, and stock returns

Scott Li (), James Refalo () and Jong-Hwan Yi ()
Additional contact information
Scott Li: California State University–Los Angeles
James Refalo: California State University–Los Angeles
Jong-Hwan Yi: California State University–Los Angeles

Financial Markets and Portfolio Management, 2025, vol. 39, issue 3, No 3, 337-363

Abstract: Abstract This paper analyzes the relationship between industry concentration level and stock returns under different levels of industry classification in the USA. We find that the effect varies significantly across different levels of industry classification. Such variation cannot be fully explained by common risk factors such as size, book-to-market ratio, and momentum. The relationship also varies by different sample periods that characterize market microstructure evolution from 1963 to 2019. Two-digit SICCD and Fama French 48 industry classification appear to generate much higher returns from industry concentration level high-minus-low portfolios during the industry consolidation era (1998–2019). The results support both Schumpeter’s theories.

Keywords: Industry concentration; Industry classification; Market microstructure (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11408-025-00470-z Abstract (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:fmktpm:v:39:y:2025:i:3:d:10.1007_s11408-025-00470-z

Ordering information: This journal article can be ordered from
http://www.springer. ... nt/journal/11408/PS2

DOI: 10.1007/s11408-025-00470-z

Access Statistics for this article

Financial Markets and Portfolio Management is currently edited by Manuel Ammann

More articles in Financial Markets and Portfolio Management from Springer, Swiss Society for Financial Market Research Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().