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How does competition in firms' product markets influence stock returns? We examine this question using firms domiciled in the UK. We find that firms in less concentrated industries earn higher returns, even after controlling for the wellknown determinants of the cross-section of UK stock returns. Furthermore, we suggest a novel asset pricing model that explicitly incorporates industry concentration as a distinguished risk factor capturing important features of product markets. Our results linkdoi:10.1080/23322039.2019.1576350 fatcat:tswe4neidzenhlw2rswgqt443a