How Does Market Cap Play Its Role in Returns during COVID-19? The Case of Norway

Minh Thi Hong Dinh ()
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Minh Thi Hong Dinh: Department of Business Administration, Inland School of Business and Social Sciences, Inland Norway University of Applied Sciences, 400 Vestad, 2418 Elverum, Norway

JRFM, 2023, vol. 16, issue 9, 1-13

Abstract: This research investigates the role of the large, medium, and small market cap portfolios in returns during the COVID-19 pandemic, around the ‘lockdown’ policy in March 2020 based on the Norwegian market. The main results suggest that during the event window, the medium and small portfolios are impacted more negatively than the large. During the before-event days, the large portfolio is slightly negatively affected, but it tends to be better after the event. The medium and small portfolios are not adversely affected during before the event, but they are considerably negatively affected after the event. The small portfolio is affected more severely negatively than the medium. The small portfolio is the most volatile of the three during the event window. In addition, there are opportunities to earn extremely positive abnormal returns (from 2.5%) after the event by holding the small and medium portfolios, but not for the large. It seems that more opportunities to earn extremely positive abnormal returns for the small portfolio than the medium.

Keywords: market cap; COVID-19; event study; stock returns; stock market (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2023
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