Work

COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Year: 2020

Type: article

Abstract: Using the first reported case of COVID-19 in a given U.S. county as the event day, we find that firms headquartered in an affected county experience, on average, a 27-bps lower return in the 10-day post-event window. This negative effect nearly doubles in magnitude for firms in counties with a higher infection rate (−50 bps). We test a number of transmission channels. Firms belonging to labor-intensive industries and those located in counties with a large mobility decline have worse stock performance. Firms sensitive to COVID-19-induced uncertainty also exhibit more negative returns. Finally, more negative stock returns are associated with downward revisions in earnings forecasts.

Source: The Review of Asset Pricing Studies

DOI: 10.1093/rapstu/raaa017

Authors: Lorenzo Bretscher, Alex Hsu, Peter Simasek, Andrea Tamoni

Institutions: London Business School, Georgia Institute of Technology, Rutgers, The State University of New Jersey

Language: English

Topic: COVID-19 Pandemic Impacts

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Decent work and economic growth

Open Access status: bronze

OpenAlex ID: W3040715873