Do Markets Price CEOs Health Hazards? Evidence From the COVID-19 Pandemic

Abstract

We find evidence that markets anticipate the potential loss of firm value in the event of the CEO falling sick and eventually dying of COVID-19 in a sample of almost 3,000 listed firms from across 137 regions in 10 European countries. First, we use soccer games as “super-spreader” events. The instrumented number of infected cases per capita in the region where company headquarters are located predicts a significant drop in stock returns during March and April 2020 for firms managed by CEOs with a higher probability of dying from COVID-19. Second, we show that the stock price of these firms increases significantly the day in which positive news on the development of COVID-19 vaccines are released in the market.

Keywords: COVID-19, CEO value, soccer, stock returns, super-spreader, vaccines, market efficiency

JEL Classification: G01, G12, G14, M12