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

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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: Covid-19; event study; idiosyncratic risk; stock returns; structural break; coronavirus (search for similar items in EconPapers)
JEL-codes: J01 R14 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2021-11-01
New Economics Papers: this item is included in nep-cfn and nep-ger
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Published in International Review of Financial Analysis, 1, November, 2021, 78. ISSN: 1057-5219

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http://eprints.lse.ac.uk/112454/ Open access version. (application/pdf)

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Journal Article: COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan (2021)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:112454

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