IDEAS home Printed from https://ideas.repec.org/p/chf/rpseri/rp2105.html
   My bibliography  Save this paper

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

Author

Listed:
  • Lorenzo Bretscher

    (University of Lausanne and Swiss Finance Institute)

  • Alex Hsu

    (Georgia Institute of Technology - Scheller College of Business)

  • Peter Simasek

    (Georgia Institute of Technology - Scheller College of Business)

  • Andrea Tamoni

    (Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick)

Abstract

Using the first reported case of COVID-19 in a given US county as the event day, firms headquartered in an affected county experience an average 27 bps lower return in the 10-day post-event. 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 residing in counties with large mobility decline have worse stock performance. Firms sensitive to COVID-19 induced uncertainty also exhibit more negative returns. Finally, firms associated with downward earnings forecast revisions are more impacted.

Suggested Citation

  • Lorenzo Bretscher & Alex Hsu & Peter Simasek & Andrea Tamoni, 2021. "COVID-19 and the Cross-Section of Equity Returns: Impact and Transmission," Swiss Finance Institute Research Paper Series 21-05, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2105
    as

    Download full text from publisher

    File URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3588418
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pedro M. Nogueira Reis, 2022. "Determinants of Qualified Investor Sentiment during the COVID-19 Pandemic in North America, Asia, and Europe," Economies, MDPI, vol. 10(6), pages 1-20, June.

    More about this item

    Keywords

    COVID-19; Equity Returns; Labor Supply; Uncertainty; Earnings Forecast;
    All these keywords.

    JEL classification:

    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:chf:rpseri:rp2105. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ridima Mittal (email available below). General contact details of provider: https://edirc.repec.org/data/fameech.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.