. 2021 Apr 14;23(1-2):1–29. doi: 10.1057/s41283-021-00070-x

Table 1.

Descriptive statistics COVID-19 crisis

S&P500 Industries	S&P500 as per December 31, 2019			Sample
S&P500 Industries	Frequency	%	Cum	Frequency	%	Cum
Panel A: sample constituents by industry
Communication services	22	4.41	4.41	19	4.69	4.69
Consumer discretionary	64	12.83	17.23	47	11.60	16.30
Consumer staples	33	6.61	23.85	28	6.91	23.21
Energy	27	5.41	29.26	13	3.21	26.42
Financials	66	13.23	42.48	55	13.58	40.00
Health care	60	12.02	54.51	53	13.09	53.09
Industrials	69	13.83	68.34	61	15.06	68.15
Information technlogy	71	14.23	82.57	57	14.07	82.22
Materials	29	5.81	88.38	27	6.67	88.89
Real estate	30	6.01	94.39	18	4.44	93.33
Utilities	28	5.61	100	27	6.67	100
Total	499	100	100	405	100	100

Variables	(1)	(2)	(3)	(4)	(5)	(6)	(7)
Variables	Mean	p50	sd	p1	p99	Skewness	N
Panel B: loss, gain, recovery and valuation ratios
Loss %	− 38.12	− 38.72	13.68	− 72.31	− 2.89	0.16	405
Return%	− 18.60	− 17.49	14.70	− 56.99	18.49	− 0.02	405
Gain %	33.76	31.83	17.12	0.68	83.93	1.26	405
Recovery %	56.52	52.03	49.91	− 13.39	213.82	1.88	405
P/E_{ex ante}	20.45	18.52	10.01	8.20	58.75	1.66	405
P/E_{ex post}	18.85	16.60	9.96	6.37	54.65	1.56	405
P/B_{ex ante}	4.96	3.20	5.90	0.82	33.13	4.29	405
P/B_{ex post}	4.28	2.54	6.81	0.51	28.18	8.24	405
D/P_{ex ante}	0.0187	0.0179	0.0136	0	0.0526	0.40	405
D/P_{ex post}	0.0225	0.0207	0.0173	0	0.0682	0.64	405
Panel C: Gordon factors
Implied growth w_{ex ante}	16.50	12.65	18.74	− 2.40	94.19	5.51	405
Implied growth w_{ex post}	14.50	11.17	18.65	− 3.30	86.47	5.81	405
Discount rate k_{ex ante}	18.37	14.40	18.48	0.46	94.19	5.73	405
Discount rate k_{ex post}	16.75	12.73	18.36	1.04	92.07	6.12	405
ROE r_{ex ante}	24.57	16.92	26.77	4.13	145.93	5.19	405
ROE r_{ex post}	22.52	15.51	28.05	2.71	126.09	5.55	405
Payout ratio 1 − b_{ex ante}	34.73	30.27	31.46	0	147.36	2.08	405
Payout ratio 1 − b_{ex post}	37.92	31.67	37.14	0	158.70	2.65	405

This table reports the descriptive statistics with respect to the sample constituents in panel A and the stock returns during the COVID-19 crisis and commonly used valuation ratios in panel B. Losses are measured from February 19 through March 23, 2020. Returns are from February 19 through April 30, 2020. Gains from February 19 through April 30, 2020, corresponding to a percentage recovery, which is the gain scaled by the loss. All valuation ratios are 12-month forward-looking ratios. The data are from S&P Capital IQ. The Gordon factors reported in Panel C are calculated as defined in Eqs. (1) through (6) in the “Methodology” section of the paper.