Key Areas of Research

Dynamic Investment and Product Market Rivalry: The Network Q Model
February 2026

We present a new dynamic model of corporate investment in imperfectly-competitive product markets, extending the neoclassical (Q) theory of investment to a multi-firm, multi-product, fully structural model.  The model provides an explicit formula to quantify corporate investment and characterize investment spillovers for the entire network of firms in any economy.  The model therefore provides a tool for future for researchers and policymakers alike, to understand relevant issues such as the way in which a specific merger affects all interconnected firms in the same network and consumer welfare, or how changes in aggregate discount rates affect markups and product market concentration both over time and in the cross section of firms.

In the paper, we take our model to the data for the universe of U.S. publicly traded companies and obtain five novel insights: 1) product market competition is a key force driving aggregate investment and capital allocation; 2) the persistence of firm's capital stocks increased over the past 25 years (i.e. capital has became ""stickier""); 3) monopoly rents account for a large, rising share of firms' value; 4) positive shocks to firms' cost of capital increase markups and concentration; 5) mergers consummated since 1995 have led to a modest decline in aggregate capital formation.  These findings contribute to the existing economics and finance literature analyzing the secular decline in product market competition in the US, and the impact of product markets on firms' valuations

Maria Cecilia Bustamante (UMD) and Bruno Pellegrino (Columbia)

• Enterprise impact measurement and valuation
• Markets and enterprise performance
• Policy innovation and strategic foresight
• Trade/industrial policy and global realignment
• Finance

Holding Horizon: A New Measure of Active Investment Management
Journal of Financial and Quantitative Analysis

This article introduces a new holding horizon measure of active management and examines its relation to future risk-adjusted fund performance (alpha). Our measure reveals a wide cross-sectional dispersion in mutual fund investment horizons, and shows that long-horizon funds exhibit positive future long-term alphas by holding stocks with superior long-term fundamentals. Further, stocks largely held by long-horizon funds outperform stocks largely held by short-horizon funds by more than 3%annually, adjusted for risk, over the following 5-year period. We also find a clientele effect: to reduce liquidity costs, long-horizon funds attract more long-term investors through share classes that carry load fees.

Chunhua Lan (University of New Brunswick), Fabio Moneta (Queen's University), and Russ Wermers

• Markets and enterprise performance
• Technology-driven transformations, disruptions, and biases in the production, assurance, and analysis of financial and business information
• Policy innovation and strategic foresight
• Consumer behavior and social influence
• Finance

Equity Term Structures without Dividend Strips Data
Journal of Finance

We use a large cross section of equity returns to estimate a rich affine model of equity prices, dividends, returns, and their dynamics. Our model prices dividend strips of the market and equity portfolios without using strips data in the estimation. Yet model-implied equity yields closely match yields on traded strips. Our model extends equity term-structure data over time (to the 1970s) and across maturities, and generates term structures for various equity portfolios. The novel cross section of term structures from our model covers 45 years and includes several recessions, providing a novel set of empirical moments to discipline asset pricing models.

Stefano Giglio, Yale School of Management
Bryan Kelly, Yale School of Management
Serhiy Kozak, R.H. Smith School of Business, University of Maryland

• Finance