Firm-Level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1
73 Pages Posted: 2 Apr 2020 Last revised: 3 Jun 2021
Date Written: May 31, 2021
We construct text-based measures of the primary concerns listed firms associate with the spread of COVID-19 and other epidemic diseases. We identify which firms expect to lose or gain from a given epidemic, and textually decompose the epidemic’s effect on the firm’s demand and supply. We find that the effects of COVID-19 manifest as a simultaneous shock to demand and supply, with both shocks affecting firms’ market valuations in equal measure on average. By contrast, demand-related impacts appear more important in accounting for the observed collapse in firm-level investment during the COVID-19 crisis.
Keywords: epidemic diseases, pandemic, firms, uncertainty, sentiment, computational linguistics
JEL Classification: E0, E6, F0, G12, I0
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