Table 2.
Cross-sectional analysis of cumulative abnormal returns.
|
Panel 1: Arrival of COVID-19 |
Panel 2: Policy Response |
||||||
|---|---|---|---|---|---|---|---|
| [−1,1] | [−1,5] | [−1,10] | [−1,1] | [−1,5] | [−1,10] | ||
| Constant | −0.753 | 2.566 | 2.824 | −11.763*** | −12.009*** | −15.286*** | |
| (−0.779) | (1.390) | (0.958) | (−5.344) | (−3.878) | (−4.774) | ||
| First death | 0.047 | −0.663* | −2.221*** | ||||
| (0.261) | (−1.955) | (−4.250) | |||||
| Monetary policy | 0.947** | 0.988* | 1.481*** | ||||
| (2.297) | (1.905) | (2.699) | |||||
| Essential | 0.041 | 0.428 | 1.718* | −0.152 | −0.311 | 0.389 | |
| (0.150) | (0.776) | (1.880) | (−0.230) | (−0.367) | (0.431) | ||
| INST | 0.208 | −1.620 | −5.355*** | −0.940 | 4.256** | 4.829** | |
| (0.292) | (−1.175) | (−2.657) | (−0.596) | (2.040) | (2.303) | ||
| TLEV | 1.586 | 1.476 | 4.392 | 8.612*** | 3.738 | 5.195 | |
| (1.540) | (0.813) | (1.533) | (4.046) | (1.265) | (1.616) | ||
| VOLA | −0.139** | −0.875*** | −1.310*** | 0.627*** | 0.673*** | −0.301 | |
| (−2.076) | (−6.938) | (−6.732) | (4.417) | (3.482) | (−1.468) | ||
| TAN | 1.344 | 3.808** | 7.591*** | 11.527*** | 5.973** | 10.706*** | |
| (1.615) | (2.380) | (3.006) | (6.329) | (2.383) | (4.085) | ||
| LIQ | 2.043*** | 4.425*** | 8.572*** | 4.287*** | 0.630 | 3.248 | |
| (2.750) | (3.270) | (3.991) | (2.781) | (0.285) | (1.366) | ||
| ln(Assets) | 0.342*** | 0.156 | 0.535* | 0.574** | 0.455 | 0.870*** | |
| (3.296) | (0.766) | (1.728) | (2.464) | (1.489) | (2.793) | ||
| DY | −0.246*** | −0.348*** | −0.347** | −0.178 | −0.046 | 0.198 | |
| (−3.965) | (−3.411) | (−2.321) | (−1.486) | (−0.278) | (1.109) | ||
| MTB | 0.073 | 0.121 | 0.430*** | 0.050 | 0.356** | 0.711*** | |
| (1.411) | (1.231) | (2.627) | (0.419) | (2.380) | (4.411) | ||
| PROF | 0.011 | −0.019 | −0.011 | −0.014 | 0.048 | 0.066* | |
| (0.936) | (−0.834) | (−0.296) | (−0.554) | (1.417) | (1.753) | ||
| ROE | −0.020* | 0.005 | −0.010 | 0.020 | −0.047 | −0.076** | |
| (−1.850) | (0.247) | (−0.332) | (0.860) | (−1.552) | (−2.359) | ||
| Country FE | Yes | Yes | Yes | Yes | Yes | Yes | |
| Industry FE | Yes | Yes | Yes | Yes | Yes | Yes | |
| R2 | 0.171 | 0.257 | 0.27 | 0.162 | 0.117 | 0.217 | |
| N | 1,340 | 1,340 | 1,340 | 1,245 | 1,245 | 1,245 | |
Remark: This table reports OLS estimates of the effects the arrival of COVID-19 and policy measures have on CARs in the USA and in Europe. Panel 1 and Panel 2 report the reactions on the arrival of COVID-19 and a policy measure, respectively. The dependent variables are CARs of different time windows relative to the event date. First death and Monetary policy are dummy variables that assume a value of one when the CARs are in response to the first death and a monetary policy measure, respectively. *, **, and *** denote statistical significance at the 10%, 5%, and 1% level, respectively; t-values from robust standard errors are in parentheses. The full set of coefficients are available upon request.