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Stock Return Dependence and Product Market Linkages

We study the implications of interfirm product market linkages for dependence among the daily stock returns of US publicly traded firms using a spatial econometric regression. The effects of rivals and major customers change with various characteristics related to the product market network. We find that the competitive effect dominates the contagion effect for firms competing in highly concentrated industries, while the contagion effect becomes stronger in industries with higher product-market variability. We also find that a concentrated customer base and weak product uniqueness increase the sensitivity of the firms to their major customers.