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. 2021 Mar 7;141(2):802–830. doi: 10.1016/j.jfineco.2021.03.005

Table 3.

Corporate financial conditions and stock returns in response to COVID-19.

 The table reports regression results analyzing how stock prices respond to the COVID-19 pandemic as functions of pre-pandemic corporate financial conditions. The dependent variable is the weekly stock return of each firm. COVID19 is the weekly growth rate of the number of confirmed COVID-19 cases in an economy. To measure a firm's financial conditions, we use Firm Size, Leverage, Cash, profitability [ROA, ROA (Operating Income), ROA (EBITDA), or ROA (EBIT)], Undrawn Credit, and Maturing Debt. The analyses cover the period from January 2, 2020 through May 22, 2020. The Appendix provides detailed variable definitions. We include firm, industry (two-digit Standard Industrial Classification) by week, and economy by week fixed effects. Robust standard errors clustered at the economy level are reported in parentheses. ***, **, and * denote significance levels at 1%, 5%, and 10%, respectively.

Weekly Stock Return
Variable (1) (2) (3) (4) (5) (6) (7)
COVID19 -1.422***
(0.241)
Firm Size * COVID19 0.085** 0.124*** 0.124** 0.128** 0.138** 0.121**
(0.041) (0.041) (0.056) (0.055) (0.060) (0.058)
Leverage * COVID19 -1.236*** -1.628*** -1.456*** -1.645*** -1.535*** -1.556***
(0.281) (0.277) (0.228) (0.307) (0.301) (0.290)
Cash * COVID19 0.933** 1.897*** 1.852*** 1.877*** 1.862*** 1.710**
(0.428) (0.557) (0.629) (0.654) (0.634) (0.640)
ROA * COVID19 1.768*** 1.838** 2.043**
(0.334) (0.901) (0.964)
Undrawn Credit * COVID19 0.866* 0.966 0.903 0.946 0.908
(0.490) (0.600) (0.548) (0.582) (0.573)
Maturing Debt * COVID19 -0.510*** -0.501*** -0.448*** -0.507***
(0.123) (0.128) (0.122) (0.123)
ROA (Operating Income) * COVID19 3.144**
(1.264)
ROA (EBITDA) * COVID19 2.781***
(0.570)
ROA (EBIT) * COVID19 3.017***
(0.635)
Firm fixed effects Yes Yes Yes Yes Yes Yes Yes
Industry-time fixed effects Yes Yes Yes Yes Yes Yes Yes
Economy-time fixed effects No Yes Yes Yes Yes Yes Yes

Number of observations 141,449 126,711 86,216 79,877 79,856 78,263 79,583
Adjusted R-squared 0.433 0.503 0.534 0.539 0.540 0.539 0.540
Number of firms 6,744 6,041 4,110 3,808 3,807 3,731 3,794