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COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan

Wasim Ahmad, Ali Kutan (), Rishman Jot Kaur Chahal and Ruth Kattumuri

International Review of Financial Analysis, 2021, vol. 78, issue C

Abstract: This paper examines the impact of the coronavirus pandemic during its first and second waves for the USA, UK, Europe, and Japan. We explore the firm-level dynamics and exhibit the impact of coronavirus events on large and small firms and firms' idiosyncratic risk. We find that the intensity of the impact of the coronavirus pandemic events is not uniform for firms. The Blank Swan events in March 2020 exhibit stronger impact the second wave till April 2021. The second wave analysis reveals the sign of recovery and receding effect of the pandemic. The idiosyncratic analysis shows the positive impact of the coronavirus and stringency measures on the idiosyncratic risk.

Keywords: Stock returns; Event study; COVID-19; Structural break; Idiosyncratic risk (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.irfa.2021.101888

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