COVID-19 Pandemic and firm-level dynamics in the USA, UK, Europe, and Japan

被引：18
|
作者：
Ahmad, Wasim [1 ,2 ]
Kutan, Ali M. [3 ]
Chahal, Rishman Jot Kaur [4 ]
Kattumuri, Ruth [2 ]
机构：
[1] Indian Inst Technol Kanpur, Dept Econ Sci, Kanpur, Uttar Pradesh, India
[2] London Sch Econ & Polit Sci LSE, LSE India Observ, London, England
[3] Southern Illinois Univ, Dept Econ & Finance, Edwardsville, IL USA
[4] Indian Inst Technol Roorkee, Dept Humanities & Social Sci, Roorkee 247667, Uttarakhand, India
来源：
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2021年 / 78卷
关键词：
Stock returns; Event study; COVID-19; Structural break; Idiosyncratic risk; RISK; EVENTS;
D O I：
10.1016/j.irfa.2021.101888
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper examines the impact of the coronavirus pandemic during its first and second waves for the USA, UK, Europe, and Japan. We explore the firm-level dynamics and exhibit the impact of coronavirus events on large and small firms and firms' idiosyncratic risk. We find that the intensity of the impact of the coronavirus pandemic events is not uniform for firms. The Blank Swan events in March 2020 exhibit stronger impact the second wave till April 2021. The second wave analysis reveals the sign of recovery and receding effect of the pandemic. The idiosyncratic analysis shows the positive impact of the coronavirus and stringency measures on the idiosyncratic risk.
引用
收藏
页数：12
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