Feverish Stock Price Reactions to COVID-19

Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655

Swiss Finance Institute Research Paper No. 20-12

58 Pages Posted: 9 Mar 2020 Last revised: 23 Mar 2021

See all articles by Stefano Ramelli

Stefano Ramelli

University of Zurich - Department of Banking and Finance

Alexander F. Wagner

University of Zurich - Department of Banking and Finance; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI); Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Date Written: June 16, 2020

Abstract

Market reactions to the 2019 novel coronavirus disease (COVID-19) provide new insights into how real shocks and financial policies drive firm value. Initially, internationally oriented firms, especially those more exposed to trade with China, underperformed. As the virus spread to Europe and the United States, corporate debt and cash holdings emerged as important value drivers, relevant even after the Fed intervened in the bond market. The content and tone of conference calls mirror this development over time. Overall, the results illustrate how anticipated real effects from the health crisis, a rare disaster, were amplified through financial channels.

Keywords: Cash holdings, Conference calls, Corporate debt, Coronavirus, COVID-19, Event study, Financial crisis, Global Value Chains, International trade, Leverage, Pandemic, Rare events, SARS-CoV-2, Tail risk

JEL Classification: G01, G02, G14, G15, F15, F23, F36

Suggested Citation

Ramelli, Stefano and Wagner, Alexander F., Feverish Stock Price Reactions to COVID-19 (June 16, 2020). Review of Corporate Finance Studies, Volume 9, Issue 3, November 2020, Pages 622–655, Swiss Finance Institute Research Paper No. 20-12, Available at SSRN: https://ssrn.com/abstract=3550274 or http://dx.doi.org/10.2139/ssrn.3550274

Stefano Ramelli

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland
+41446342953 (Phone)

Alexander F. Wagner (Contact Author)

University of Zurich - Department of Banking and Finance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland
+41 44 634 3963 (Phone)

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
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1000 Brussels
Belgium

Swiss Finance Institute ( email )

Switzerland

HOME PAGE: http://www.alex-wagner.com

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