Feverish Stock Price Reactions to Covid-19

61 Pages Posted: 25 Mar 2020 Last revised: 29 Jun 2020

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: March 2020

Abstract

The 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 US, 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 the anticipated real effects from the health crisis, a rare disaster, were amplified through financial channels.

Keywords: Coronavirus, Corporate Debt, COVID-19, event study, global value chains, leverage, Pandemic, SARS-CoV-2, Supply Chains, tail risk

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

Suggested Citation

Ramelli, Stefano and Wagner, Alexander F., Feverish Stock Price Reactions to Covid-19 (March 2020). CEPR Discussion Paper No. DP14511, Available at SSRN: https://ssrn.com/abstract=3560319

Stefano Ramelli (Contact Author)

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

Plattenstrasse 14
Zürich, 8032
Switzerland
+41446342953 (Phone)

Alexander F. Wagner

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
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Swiss Finance Institute ( email )

Switzerland

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
8
Abstract Views
9,710
PlumX Metrics