State-level COVID-19 outbreak and stock returns

Title: State-level COVID-19 outbreak and stock returns
Creator: Anh, Viet Pham; Adrian, Christofer; Garg, Mukesh; Phang, Soon-Yeow; Truong, Cameron
Relation: Finance Research Letters Vol. 43, Issue November 2021, no. 102002
Publisher Link: http://dx.doi.org/10.1016/j.frl.2021.102002
Publisher: Academic Press
Resource Type: journal article
Date: 2021
Description: We use state-level data to evaluate the connection between outbreaks of COVID-19 and stock returns over the period January-June 2020. We show that daily increases in the number of infected cases, hospitalized cases, and deaths are negatively associated with next day stock returns of firms headquartered in the same state. The relationship is weaker among states with high levels of medical resources and states that are likely to get support from the federal government. In addition, we find that the negative effect is reduced for firms that report an expectation that an outbreak will increase revenues and for firms with a strong corporate social responsibility practice. We believe our study is the first paper to assess cross-sectional stock price reactions to COVID-19 as a function of the state-level impact of the pandemic outbreak.
Subject: covid-19; stock returns; corporate social responsibility; state-level analysis; SDG 3; Sustainable Development Goals
Identifier: http://hdl.handle.net/1959.13/1450278
Identifier: uon:43886
Identifier: ISSN:1544-6123
Language: eng
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