COVID-19 and the cross-section of equity returns: Impact and transmission

Lorenzo Bretscher, Alex Hsu, Peter Simasek, Andrea Tamoni

Research output: Contribution to journalReview articlepeer-review

50 Scopus citations


Using the first reported case of COVID-19 in a given U.S. county as the event day, we find that firms headquartered in an affected county experience, on average, a 27-bps lower return in the 10-day post-event window. This negative effect nearly doubles in magnitude for firms in counties with a higher infection rate (-50 bps). We test a number of transmission channels. Firms belonging to labor-intensive industries and those located in counties with a large mobility decline have worse stock performance. Firms sensitive to COVID-19-induced uncertainty also exhibit more negative returns. Finally, more negative stock returns are associated with downward revisions in earnings forecasts.

Original languageEnglish (US)
Pages (from-to)705-741
Number of pages37
JournalReview of Asset Pricing Studies
Issue number4
StatePublished - Dec 1 2020

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics


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