Table 4.

Idiosyncratic Risks for the pre-COVID-19 and COVID-19 regime periods.

Industry	${\overline{\sigma }}_{{ϵ}_C}^2$	${\overline{\sigma }}_{{ϵ}_{PC}}^2$	${\overline{\sigma }}_{{ϵ}_C}^2-{\overline{\sigma }}_{{ϵ}_{PC}}^2$	t-statistics
Panel A: Top 7 industries
Petroleum and Natural Gas	2.96	1.14	1.81	11.97⁎⁎⁎
Coal	4.31	3.06	1.24	13.52⁎⁎⁎
Restaurants, Hotels, & Lodgings	1.31	0.33	0.98	10.07⁎⁎⁎
Recreation (Games and Entertainments)	1.59	0.98	0.6	10.08⁎⁎⁎
Printing and Publishing	1.34	0.89	0.45	9.23⁎⁎⁎
Metal and Mining	1.56	1.11	0.45	11.20⁎⁎⁎
Apparel	1.14	0.72	0.42	8.96⁎⁎⁎
Panel B: Bottom 7 industries
Transportation	0.64	0.45	0.19	10.72⁎⁎⁎
Finance	0.37	0.19	0.17	9.16⁎⁎⁎
Personal and Business Services	0.42	0.25	0.16	11.74⁎⁎⁎
Business Equipment	0.43	0.28	0.15	13.25⁎⁎⁎
Beer & Liquor	0.73	0.59	0.14	10.25⁎⁎⁎
Steel	1.39	1.27	0.12	7.15⁎⁎⁎
Food Production	0.54	0.45	0.09	11.06⁎⁎⁎

This table reports means of idiosyncratic risks for pre-covid-19 sample period and COVID-19 sample period, and mean differences in idiosyncratic risks between two sample periods. Panel (a) shows top 7 industries among 30 industries, which have higher mean differences between two sample periods. Panel (b) shows bottom 7 industries have lower mean differences between two sample periods.

*** p<0.01, ** p<0.05, * p<0.10.