Persistence of price-cost margins in the U.S. food and tobacco manufacturing industries is measured while accounting for price-cost margin risk. Direct measurement of persistence and of long- and short-run price-cost margin risk is accomplished by incorporating a partial-adjustment framework into the Single Index Model. Results indicate persistence of price-cost margins. Short-run margin risk is accounted for primarily by diversifiable risk. Long-run margin risk, which depends on systematic risk alone, is generally lower than the short-run measure. Factors influencing persistence and the systematic relationship between industry margins and a market index are explored.