Bretscher, L, Hsu, A, Simasek, P and Tamoni, A
(2020)
COVID-19 and the cross-section of equity returns: impact and transmission.
Review of Asset Pricing Studies, 10 (4).
pp. 705-741.
ISSN 2045-9920
Abstract
Using the first reported case of COVID-19 in a given U.S. county as the event day, we find that firms headquartered in an affected county experience, on average, a 27-bps lower return in the 10-day post-event window. 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 those located in counties with a large mobility decline have worse stock performance. Firms sensitive to COVID-19-induced uncertainty also exhibit more negative returns. Finally, more negative stock returns are associated with downward revisions in earnings forecasts.
More Details
Item Type: | Article |
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Subject Areas: | Finance |
Additional Information: |
© 2020, Oxford University Press |
Date Deposited: | 12 Mar 2021 17:24 |
Subjects: |
Crises Investment appraisal Ill health |
Last Modified: | 11 Feb 2025 02:37 |
URI: | https://lbsresearch.london.edu/id/eprint/1598 |