Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5100295 | Journal of Empirical Finance | 2017 | 28 Pages |
Abstract
This paper investigates the link between a firm's customer-base concentration and stock return volatility. We find that firms with more concentrated customer bases have higher idiosyncratic volatility. Further, we show significant variation in customer-base concentration effects across customer and supplier firm dimensions, including customer type, customer default probability, customer idiosyncratic volatility, customer customer-base concentration, extended trade credit, and industry product market competition. Our results are robust to potential endogeneity concerns, different estimation methodologies and volatility measures, among numerous other robustness checks. Overall, our results contribute to the understanding of idiosyncratic volatility sources in firm stock returns and provide new evidence on the transmission of firm-specific shocks in a supply-chain network environment.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Atanas Mihov, Andy Naranjo,