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Firm efficiency and stock returns during the COVID-19 crisis

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  • Neukirchen, Daniel
  • Engelhardt, Nils
  • Krause, Miguel
  • Posch, Peter N.

Abstract

We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.

Suggested Citation

  • Neukirchen, Daniel & Engelhardt, Nils & Krause, Miguel & Posch, Peter N., 2022. "Firm efficiency and stock returns during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 44(C).
    • Handle: RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001185
    DOI: 10.1016/j.frl.2021.102037
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    Cited by:

    1. Carlini, Federico & Farina, Vincenzo & Gufler, Ivan & Previtali, Daniele, 2024. "Do stress and overstatement in the news affect the stock market? Evidence from COVID-19 news in The Wall Street Journal," International Review of Financial Analysis, Elsevier, vol. 93(C).
    2. Silva, Thiago Christiano & Wilhelm, Paulo Victor Berri & Tabak, Benjamin Miranda, 2022. "The role of non-critical business and telework propensity in international stock markets during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
    3. Iyer, Subramanian Rama & Simkins, Betty J., 2022. "COVID-19 and the Economy: Summary of research and future directions," Finance Research Letters, Elsevier, vol. 47(PB).
    4. Jin, Chengsheng & Cong, Zhenglong & Dan, Zhen & Zhang, Tidong, 2023. "COVID-19, CSR, and performance of listed tourism companies," Finance Research Letters, Elsevier, vol. 57(C).
    5. Fasano, Francesco & Javier Sánchez-Vidal, F. & La Rocca, Maurizio, 2022. "The role of government policies for Italian firms during the COVID-19 crisis," Finance Research Letters, Elsevier, vol. 50(C).
    6. Yan Wang, 2022. "Does Governance Quality Matter for the Selection of Policy Stringency to Fight COVID-19?," IJERPH, MDPI, vol. 19(11), pages 1-14, May.

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    More about this item

    Keywords

    COVID-19; Firm efficiency; Resiliency;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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