Table 7 Open in new tab Double sorts on...

	Low competition	High competition
A. Full sample
Excess return	0.80	0.67	0.59	–0.20	0.38	0.73	0.77	0.39
	(3.77)	(2.85)	(2.72)	(–1.48)	(1.33)	(3.24)	(3.10)	(2.68)
Char-adj return	–0.28	–0.45	–0.42	–0.14	–0.63	–0.25	–0.19	0.44
	(–2.29)	(–5.94)	(–5.08)	(–1.05)	(–4.99)	(–2.78)	(–2.04)	(2.82)
CAPM $α$	0.26	0.02	0.00	–0.25	–0.29	0.14	0.09	0.39
	(2.23)	(0.25)	(0.02)	(–1.79)	(–1.70)	(1.03)	(0.72)	(2.92)
FS $α$	0.22	–0.01	–0.05	–0.27	–0.37	0.15	0.10	0.47
	(2.16)	(–0.06)	(–0.49)	(–1.68)	(–2.17)	(1.27)	(0.79)	(2.30)
FF3 $α$	0.14	0.00	–0.01	–0.15	–0.34	0.35	0.21	0.55
	(1.38)	(–0.03)	(–0.13)	(–1.07)	(–1.90)	(3.15)	(1.81)	(2.70)
FFC $α$	0.22	0.06	0.04	–0.18	–0.16	0.50	0.23	0.39
	(2.09)	(0.60)	(0.49)	(–1.22)	(–0.88)	(3.63)	(1.98)	(2.01)
FF5 $α$	0.08	–0.12	–0.18	–0.26	–0.30	0.50	0.25	0.56
	(0.81)	(–1.23)	(–1.89)	(–1.59)	(–1.55)	(3.31)	(1.82)	(2.25)
HXZ $α$	0.21	–0.05	0.01	–0.20	–0.11	0.54	0.46	0.58
	(1.88)	(–0.47)	(0.07)	(–1.27)	(–0.50)	(2.99)	(2.66)	(1.97)

B. All-but-microcaps sample
Excess return	0.77	0.84	0.77	0.00	0.58	0.85	1.09	0.50
	(3.01)	(3.27)	(2.91)	(–0.02)	(1.90)	(2.84)	(3.61)	(2.27)
Char-adj return	–0.43	–0.40	–0.41	0.02	–0.56	–0.26	–0.10	0.45
	(–5.47)	(–5.07)	(–5.57)	(0.26)	(–5.31)	(–2.61)	(–0.88)	(2.57)
CAPM $α$	0.07	0.13	0.04	–0.03	–0.21	0.06	0.27	0.48
	(0.61)	(0.96)	(0.36)	(–0.35)	(–1.42)	(0.38)	(1.54)	(2.20)
FS $α$	0.04	0.07	0.01	–0.03	–0.20	0.12	0.31	0.51
	(0.36)	(0.54)	(0.08)	(–0.35)	(–1.35)	(0.75)	(1.63)	(2.28)
FF3 $α$	–0.12	–0.04	–0.10	0.02	–0.25	0.15	0.32	0.57
	(–1.30)	(–0.34)	(–1.09)	(0.26)	(–1.68)	(1.18)	(2.48)	(2.68)
FFC $α$	0.07	0.09	0.06	–0.01	0.03	0.35	0.34	0.31
	(0.67)	(0.80)	(0.73)	(–0.07)	(0.17)	(2.55)	(2.79)	(1.97)
FF5 $α$	–0.20	–0.21	–0.20	0.00	–0.08	0.45	0.43	0.52
	(–1.74)	(–1.82)	(–1.95)	(–0.00)	(–0.42)	(3.05)	(3.35)	(1.98)
HXZ $α$	0.01	–0.04	0.05	0.04	0.15	0.58	0.78	0.63
	(0.07)	(–0.26)	(0.36)	(0.26)	(0.66)	(3.31)	(4.17)	(2.05)

Low competition

High competition

L M_{L}

L M_{M}

L M_{H}

H–L

L M_{L}

L M_{M}

L M_{H}

H–L

A. Full sample

Excess return

0.80

0.67

0.59

–0.20

0.38

0.73

0.77

0.39

(3.77)

(2.85)

(2.72)

(–1.48)

(1.33)

(3.24)

(3.10)

(2.68)

Char-adj return

–0.28

–0.45

–0.42

–0.14

–0.63

–0.25

–0.19

0.44

(–2.29)

(–5.94)

(–5.08)

(–1.05)

(–4.99)

(–2.78)

(–2.04)

(2.82)

CAPM

α

0.26

0.02

0.00

–0.25

–0.29

0.14

0.09

0.39

(2.23)

(0.25)

(0.02)

(–1.79)

(–1.70)

(1.03)

(0.72)

(2.92)

α

0.22

–0.01

–0.05

–0.27

–0.37

0.15

0.10

0.47

(2.16)

(–0.06)

(–0.49)

(–1.68)

(–2.17)

(1.27)

(0.79)

(2.30)

FF3

α

0.14

0.00

–0.01

–0.15

–0.34

0.35

0.21

0.55

(1.38)

(–0.03)

(–0.13)

(–1.07)

(–1.90)

(3.15)

(1.81)

(2.70)

FFC

α

0.22

0.06

0.04

–0.18

–0.16

0.50

0.23

0.39

(2.09)

(0.60)

(0.49)

(–1.22)

(–0.88)

(3.63)

(1.98)

(2.01)

FF5

α

0.08

–0.12

–0.18

–0.26

–0.30

0.50

0.25

0.56

(0.81)

(–1.23)

(–1.89)

(–1.59)

(–1.55)

(3.31)

(1.82)

(2.25)

HXZ

α

0.21

–0.05

0.01

–0.20

–0.11

0.54

0.46

0.58

(1.88)

(–0.47)

(0.07)

(–1.27)

(–0.50)

(2.99)

(2.66)

(1.97)

B. All-but-microcaps sample

Excess return

0.77

0.84

0.77

0.00

0.58

0.85

1.09

0.50

(3.01)

(3.27)

(2.91)

(–0.02)

(1.90)

(2.84)

(3.61)

(2.27)

Char-adj return

–0.43

–0.40

–0.41

0.02

–0.56

–0.26

–0.10

0.45

(–5.47)

(–5.07)

(–5.57)

(0.26)

(–5.31)

(–2.61)

(–0.88)

(2.57)

CAPM

α

0.07

0.13

0.04

–0.03

–0.21

0.06

0.27

0.48

(0.61)

(0.96)

(0.36)

(–0.35)

(–1.42)

(0.38)

(1.54)

(2.20)

α

0.04

0.07

0.01

–0.03

–0.20

0.12

0.31

0.51

(0.36)

(0.54)

(0.08)

(–0.35)

(–1.35)

(0.75)

(1.63)

(2.28)

FF3

α

–0.12

–0.04

–0.10

0.02

–0.25

0.15

0.32

0.57

(–1.30)

(–0.34)

(–1.09)

(0.26)

(–1.68)

(1.18)

(2.48)

(2.68)

FFC

α

0.07

0.09

0.06

–0.01

0.03

0.35

0.34

0.31

(0.67)

(0.80)

(0.73)

(–0.07)

(0.17)

(2.55)

(2.79)

(1.97)

FF5

α

–0.20

–0.21

–0.20

0.00

–0.08

0.45

0.43

0.52

(–1.74)

(–1.82)

(–1.95)

(–0.00)

(–0.42)

(3.05)

(3.35)

(1.98)

HXZ

α

0.01

–0.04

0.05

0.04

0.15

0.58

0.78

0.63

(0.07)

(–0.26)

(0.36)

(0.26)

(0.66)

(3.31)

(4.17)

(2.05)

	Low competition	High competition
A. Full sample
Excess return	0.80	0.67	0.59	–0.20	0.38	0.73	0.77	0.39
	(3.77)	(2.85)	(2.72)	(–1.48)	(1.33)	(3.24)	(3.10)	(2.68)
Char-adj return	–0.28	–0.45	–0.42	–0.14	–0.63	–0.25	–0.19	0.44
	(–2.29)	(–5.94)	(–5.08)	(–1.05)	(–4.99)	(–2.78)	(–2.04)	(2.82)
CAPM $α$	0.26	0.02	0.00	–0.25	–0.29	0.14	0.09	0.39
	(2.23)	(0.25)	(0.02)	(–1.79)	(–1.70)	(1.03)	(0.72)	(2.92)
FS $α$	0.22	–0.01	–0.05	–0.27	–0.37	0.15	0.10	0.47
	(2.16)	(–0.06)	(–0.49)	(–1.68)	(–2.17)	(1.27)	(0.79)	(2.30)
FF3 $α$	0.14	0.00	–0.01	–0.15	–0.34	0.35	0.21	0.55
	(1.38)	(–0.03)	(–0.13)	(–1.07)	(–1.90)	(3.15)	(1.81)	(2.70)
FFC $α$	0.22	0.06	0.04	–0.18	–0.16	0.50	0.23	0.39
	(2.09)	(0.60)	(0.49)	(–1.22)	(–0.88)	(3.63)	(1.98)	(2.01)
FF5 $α$	0.08	–0.12	–0.18	–0.26	–0.30	0.50	0.25	0.56
	(0.81)	(–1.23)	(–1.89)	(–1.59)	(–1.55)	(3.31)	(1.82)	(2.25)
HXZ $α$	0.21	–0.05	0.01	–0.20	–0.11	0.54	0.46	0.58
	(1.88)	(–0.47)	(0.07)	(–1.27)	(–0.50)	(2.99)	(2.66)	(1.97)

B. All-but-microcaps sample
Excess return	0.77	0.84	0.77	0.00	0.58	0.85	1.09	0.50
	(3.01)	(3.27)	(2.91)	(–0.02)	(1.90)	(2.84)	(3.61)	(2.27)
Char-adj return	–0.43	–0.40	–0.41	0.02	–0.56	–0.26	–0.10	0.45
	(–5.47)	(–5.07)	(–5.57)	(0.26)	(–5.31)	(–2.61)	(–0.88)	(2.57)
CAPM $α$	0.07	0.13	0.04	–0.03	–0.21	0.06	0.27	0.48
	(0.61)	(0.96)	(0.36)	(–0.35)	(–1.42)	(0.38)	(1.54)	(2.20)
FS $α$	0.04	0.07	0.01	–0.03	–0.20	0.12	0.31	0.51
	(0.36)	(0.54)	(0.08)	(–0.35)	(–1.35)	(0.75)	(1.63)	(2.28)
FF3 $α$	–0.12	–0.04	–0.10	0.02	–0.25	0.15	0.32	0.57
	(–1.30)	(–0.34)	(–1.09)	(0.26)	(–1.68)	(1.18)	(2.48)	(2.68)
FFC $α$	0.07	0.09	0.06	–0.01	0.03	0.35	0.34	0.31
	(0.67)	(0.80)	(0.73)	(–0.07)	(0.17)	(2.55)	(2.79)	(1.97)
FF5 $α$	–0.20	–0.21	–0.20	0.00	–0.08	0.45	0.43	0.52
	(–1.74)	(–1.82)	(–1.95)	(–0.00)	(–0.42)	(3.05)	(3.35)	(1.98)
HXZ $α$	0.01	–0.04	0.05	0.04	0.15	0.58	0.78	0.63
	(0.07)	(–0.26)	(0.36)	(0.26)	(0.66)	(3.31)	(4.17)	(2.05)

Table 7

Open in new tab

Double sorts on product market competition and labor mobility: 1973–2016

	Low competition				High competition
	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L
A. Full sample
Excess return	0.80	0.67	0.59	–0.20	0.38	0.73	0.77	0.39
	(3.77)	(2.85)	(2.72)	(–1.48)	(1.33)	(3.24)	(3.10)	(2.68)
Char-adj return	–0.28	–0.45	–0.42	–0.14	–0.63	–0.25	–0.19	0.44
	(–2.29)	(–5.94)	(–5.08)	(–1.05)	(–4.99)	(–2.78)	(–2.04)	(2.82)
CAPM $α$	0.26	0.02	0.00	–0.25	–0.29	0.14	0.09	0.39
	(2.23)	(0.25)	(0.02)	(–1.79)	(–1.70)	(1.03)	(0.72)	(2.92)
FS $α$	0.22	–0.01	–0.05	–0.27	–0.37	0.15	0.10	0.47
	(2.16)	(–0.06)	(–0.49)	(–1.68)	(–2.17)	(1.27)	(0.79)	(2.30)
FF3 $α$	0.14	0.00	–0.01	–0.15	–0.34	0.35	0.21	0.55
	(1.38)	(–0.03)	(–0.13)	(–1.07)	(–1.90)	(3.15)	(1.81)	(2.70)
FFC $α$	0.22	0.06	0.04	–0.18	–0.16	0.50	0.23	0.39
	(2.09)	(0.60)	(0.49)	(–1.22)	(–0.88)	(3.63)	(1.98)	(2.01)
FF5 $α$	0.08	–0.12	–0.18	–0.26	–0.30	0.50	0.25	0.56
	(0.81)	(–1.23)	(–1.89)	(–1.59)	(–1.55)	(3.31)	(1.82)	(2.25)
HXZ $α$	0.21	–0.05	0.01	–0.20	–0.11	0.54	0.46	0.58
	(1.88)	(–0.47)	(0.07)	(–1.27)	(–0.50)	(2.99)	(2.66)	(1.97)

B. All-but-microcaps sample
Excess return	0.77	0.84	0.77	0.00	0.58	0.85	1.09	0.50
	(3.01)	(3.27)	(2.91)	(–0.02)	(1.90)	(2.84)	(3.61)	(2.27)
Char-adj return	–0.43	–0.40	–0.41	0.02	–0.56	–0.26	–0.10	0.45
	(–5.47)	(–5.07)	(–5.57)	(0.26)	(–5.31)	(–2.61)	(–0.88)	(2.57)
CAPM $α$	0.07	0.13	0.04	–0.03	–0.21	0.06	0.27	0.48
	(0.61)	(0.96)	(0.36)	(–0.35)	(–1.42)	(0.38)	(1.54)	(2.20)
FS $α$	0.04	0.07	0.01	–0.03	–0.20	0.12	0.31	0.51
	(0.36)	(0.54)	(0.08)	(–0.35)	(–1.35)	(0.75)	(1.63)	(2.28)
FF3 $α$	–0.12	–0.04	–0.10	0.02	–0.25	0.15	0.32	0.57
	(–1.30)	(–0.34)	(–1.09)	(0.26)	(–1.68)	(1.18)	(2.48)	(2.68)
FFC $α$	0.07	0.09	0.06	–0.01	0.03	0.35	0.34	0.31
	(0.67)	(0.80)	(0.73)	(–0.07)	(0.17)	(2.55)	(2.79)	(1.97)
FF5 $α$	–0.20	–0.21	–0.20	0.00	–0.08	0.45	0.43	0.52
	(–1.74)	(–1.82)	(–1.95)	(–0.00)	(–0.42)	(3.05)	(3.35)	(1.98)
HXZ $α$	0.01	–0.04	0.05	0.04	0.15	0.58	0.78	0.63
	(0.07)	(–0.26)	(0.36)	(0.26)	(0.66)	(3.31)	(4.17)	(2.05)

	Low competition				High competition
	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L	$L M_{L}$	$L M_{M}$	$L M_{H}$	H–L
A. Full sample
Excess return	0.80	0.67	0.59	–0.20	0.38	0.73	0.77	0.39
	(3.77)	(2.85)	(2.72)	(–1.48)	(1.33)	(3.24)	(3.10)	(2.68)
Char-adj return	–0.28	–0.45	–0.42	–0.14	–0.63	–0.25	–0.19	0.44
	(–2.29)	(–5.94)	(–5.08)	(–1.05)	(–4.99)	(–2.78)	(–2.04)	(2.82)
CAPM $α$	0.26	0.02	0.00	–0.25	–0.29	0.14	0.09	0.39
	(2.23)	(0.25)	(0.02)	(–1.79)	(–1.70)	(1.03)	(0.72)	(2.92)
FS $α$	0.22	–0.01	–0.05	–0.27	–0.37	0.15	0.10	0.47
	(2.16)	(–0.06)	(–0.49)	(–1.68)	(–2.17)	(1.27)	(0.79)	(2.30)
FF3 $α$	0.14	0.00	–0.01	–0.15	–0.34	0.35	0.21	0.55
	(1.38)	(–0.03)	(–0.13)	(–1.07)	(–1.90)	(3.15)	(1.81)	(2.70)
FFC $α$	0.22	0.06	0.04	–0.18	–0.16	0.50	0.23	0.39
	(2.09)	(0.60)	(0.49)	(–1.22)	(–0.88)	(3.63)	(1.98)	(2.01)
FF5 $α$	0.08	–0.12	–0.18	–0.26	–0.30	0.50	0.25	0.56
	(0.81)	(–1.23)	(–1.89)	(–1.59)	(–1.55)	(3.31)	(1.82)	(2.25)
HXZ $α$	0.21	–0.05	0.01	–0.20	–0.11	0.54	0.46	0.58
	(1.88)	(–0.47)	(0.07)	(–1.27)	(–0.50)	(2.99)	(2.66)	(1.97)

B. All-but-microcaps sample
Excess return	0.77	0.84	0.77	0.00	0.58	0.85	1.09	0.50
	(3.01)	(3.27)	(2.91)	(–0.02)	(1.90)	(2.84)	(3.61)	(2.27)
Char-adj return	–0.43	–0.40	–0.41	0.02	–0.56	–0.26	–0.10	0.45
	(–5.47)	(–5.07)	(–5.57)	(0.26)	(–5.31)	(–2.61)	(–0.88)	(2.57)
CAPM $α$	0.07	0.13	0.04	–0.03	–0.21	0.06	0.27	0.48
	(0.61)	(0.96)	(0.36)	(–0.35)	(–1.42)	(0.38)	(1.54)	(2.20)
FS $α$	0.04	0.07	0.01	–0.03	–0.20	0.12	0.31	0.51
	(0.36)	(0.54)	(0.08)	(–0.35)	(–1.35)	(0.75)	(1.63)	(2.28)
FF3 $α$	–0.12	–0.04	–0.10	0.02	–0.25	0.15	0.32	0.57
	(–1.30)	(–0.34)	(–1.09)	(0.26)	(–1.68)	(1.18)	(2.48)	(2.68)
FFC $α$	0.07	0.09	0.06	–0.01	0.03	0.35	0.34	0.31
	(0.67)	(0.80)	(0.73)	(–0.07)	(0.17)	(2.55)	(2.79)	(1.97)
FF5 $α$	–0.20	–0.21	–0.20	0.00	–0.08	0.45	0.43	0.52
	(–1.74)	(–1.82)	(–1.95)	(–0.00)	(–0.42)	(3.05)	(3.35)	(1.98)
HXZ $α$	0.01	–0.04	0.05	0.04	0.15	0.58	0.78	0.63
	(0.07)	(–0.26)	(0.36)	(0.26)	(0.66)	(3.31)	(4.17)	(2.05)

The table reports monthly returns of portfolios sorted on product market competition and labor mobility, LM. The setup is the same as in Table 3, except that the sample period is from January 1973 to December 2016. The labor mobility estimates in 1973 to 1989 are set equal to those estimated for 1990 (as in Donangelo, 2014). The full sample includes all NYSE-, AMEX-, and NASDAQ-listed nonfinancial and nonregulated ordinary common stocks for which both nonmissing product market competition and labor mobility estimates in a given year t are available. The all-but-microcaps sample excludes stocks, from the full sample, with an end-of-June market value of equity below the 20th percentile of the NYSE market capitalization distribution and the remaining stocks are used to compute the breakpoints for product market competition and labor mobility separately. Panel A (panel B) reports the value-weighted (equal-weighted) average monthly returns (in %) on portfolios. Excess return is the portfolio return in excess of the 1-month Treasury-bill rate. Characteristic-adjusted (Char-adj) returns are computed by adjusting returns using 125 (⁠ $5 \times 5 \times 5$ ⁠) size/book-to-market/momentum benchmark portfolios (as in Daniel et al., 1997). The alphas (in %) are estimated from the time-series regressions of portfolio excess returns on various factor models including the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965), the Ferson and Schadt (1996) conditional capital asset pricing (FS) model, the Fama and French (1993) three-factor (FF3) model, the Fama and French (1993) and Carhart (1997) four-factor (FFC) model, the Fama and French (2015) five-factor (FF5) model, and the Hou, Xue, and Zhang (2015),q-factor (HXZ) model. H–L is the high-minus-low portfolio. Numbers in parentheses are t-statistics adjusted following Newey and West (1987). See also the legend to Table 3.

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