Firm efficiency and stock returns during the COVID-19 crisis

Daniel Neukirchen, Nils Engelhardt, Miguel Krause and Peter N. Posch

Finance Research Letters, 2022, vol. 44, issue C

Abstract: We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.

Keywords: COVID-19; Firm efficiency; Resiliency (search for similar items in EconPapers)
JEL-codes: G01 G11 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001185

DOI: 10.1016/j.frl.2021.102037

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