COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission

Lorenzo Bretscher · Alex C. Hsu · Peter Simasek · Andrea Tamoni

98 citations0/0 files storedThe Review of Asset Pricing Studies

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COVID-19 Pandemic Impacts Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

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.

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2024When the markets get CO.V.I.D: COntagion, Viruses, and Information Diffusion 2020Firm-level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1 2023Disaster resilience and asset prices 2020Who Should be Afraid of Infections? Pandemic Exposure and the Cross-Section of Stock Returns 2022Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic

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