The present paper analyzes four questions both theoretically and empircally: 1) how are risk and return outcomes at the business-unit level related to each other?; 2) how does market share influence risk-return outcomes?; 3) to what extent is the relation between market share and risk and return outcomes “spurious” (i.e. attributable to firm conduct attributes explaining risk and return as well as market share)?; and 4) what is the impact of the degree of rivalry on risk and return outcomes? A “casual” framework is built which integrates and extends previous findings on the interrelationships among risk-return outcomes, firm conduct attributes (viz. “organizational fit”, “operational efficiency”, “input factor payments” and “product-market investment”), and market concentration. The empirical variable path analysis (Partial Least Squares) was used to estimate the model. Results how: 1) that market share and risk-return outcomes are to a certain extent explained by efficiency differences (organizational fit) among firms, but 2) that differences in market power among firms and differences in collusive understandings between markets are the main driving forces in explaining risk and return outcomes.