Abstract
This paper uses market share data to infer the nature of rivalry in the U.S. cigarette industry over the 1934–94 period. Unlike previous studies, which measure rivalry from various constructs of market share instability, we examine the time-series properties of market shares to determine whether or not rivalry is evident. Our empirical results imply that a majority of firm-level market shares are martingales, suggesting market shares have been unstable from 1934–94. This result leads us to conclude that rivalry in the cigarette industry has remained strong.