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

Lorenzo Bretscher, Alex Hsu, Peter Simasek and Andrea Tamoni
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Lorenzo Bretscher: University of Lausanne and Swiss Finance Institute
Alex Hsu: Georgia Institute of Technology - Scheller College of Business
Peter Simasek: Georgia Institute of Technology - Scheller College of Business
Andrea Tamoni: Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick

No 21-05, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: Using the first reported case of COVID-19 in a given US county as the event day, firms headquartered in an affected county experience an average 27 bps lower return in the 10-day post-event. 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 residing in counties with large mobility decline have worse stock performance. Firms sensitive to COVID-19 induced uncertainty also exhibit more negative returns. Finally, firms associated with downward earnings forecast revisions are more impacted.

Keywords: COVID-19; Equity Returns; Labor Supply; Uncertainty; Earnings Forecast (search for similar items in EconPapers)
JEL-codes: E4 E6 G12 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2021-01
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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