Table 7.
Ownership structure 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 ownership. The dependent variable is the weekly stock return of each firm. We measure a firm's ownership structure based on whether a firm has an ultimate controlling shareholder classified as Individual/Family, Government, Bank and Other FI, and Corporation, the total shares owned by asset management companies (Asset Management Companies, including hedge funds and other asset management companies), and insider ownership (Management Ownership). Firm Traits * COVID19 represents the interactions of COVID19 and a set of firm characteristics (i.e., Firm Size, Leverage, Cash, and ROA). The Appendix provides detailed variable definitions. We include firm, industry 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) | (8) |
| Individual/Family * COVID19 | 0.378*** | 0.376*** | 0.389*** | 0.425*** | 0.428*** | 0.372*** | ||
| (0.124) | (0.125) | (0.127) | (0.144) | (0.145) | (0.128) | |||
| Government * COVID19 | 0.179* | 0.179* | 0.175* | 0.186** | 0.187** | 0.129 | 0.141 | 0.140 |
| (0.091) | (0.092) | (0.092) | (0.0906) | (0.0872) | (0.0984) | (0.0985) | (0.105) | |
| Bank and Other FI * COVID19 | 0.269* | 0.269* | 0.265* | 0.265* | 0.267* | 0.245* | 0.252* | 0.242* |
| (0.134) | (0.135) | (0.134) | (0.134) | (0.134) | (0.137) | (0.138) | (0.138) | |
| Corporation * COVID19 | 0.260** | 0.259* | 0.257* | 0.282** | 0.205 | 0.217* | 0.210 | |
| (0.130) | (0.130) | (0.131) | (0.120) | (0.129) | (0.128) | (0.132) | ||
| Asset Management Companies * COVID19 | -1.387*** | -1.382*** | -1.380*** | -1.389*** | ||||
| (0.410) | (0.409) | (0.406) | (0.411) | |||||
| Individual/Family (Manager) * COVID19 | 0.058 | |||||||
| (0.197) | ||||||||
| Individual/Family (Not Manager) * COVID19 | 0.569*** | |||||||
| (0.120) | ||||||||
| Individual/Family (Direct) * COVID19 | 0.538*** | |||||||
| (0.138) | ||||||||
| Individual/Family (Pyramid) * COVID19 | 0.241 | |||||||
| (0.174) | ||||||||
| Corporation (Large) * COVID19 | 0.434*** | |||||||
| (0.147) | ||||||||
| Corporation (Small) * COVID19 | 0.182 | |||||||
| (0.151) | ||||||||
| Hedge Fund * COVID19 | -4.178*** | -4.017*** | -4.005*** | -4.035*** | ||||
| (0.805) | (0.857) | (0.854) | (0.860) | |||||
| Other AMC * COVID19 | -1.068*** | -1.061*** | -1.059*** | -1.078*** | ||||
| (0.329) | (0.322) | (0.321) | (0.321) | |||||
| Management Ownership * COVID19 | -0.806** | |||||||
| (0.319) | ||||||||
| Management Ownership (Low) * COVID19 | 18.99*** | |||||||
| (4.641) | ||||||||
| Management Ownership (High) * COVID19 | -0.747** | |||||||
| (0.310) | ||||||||
| Management Ownership (Dummy, Low) * COVID19 | 0.233*** | |||||||
| (0.0729) | ||||||||
| Management Ownership (Dummy, Medium) * COVID19 | -0.181 | |||||||
| (0.153) | ||||||||
| Management Ownership (Dummy, High) * COVID19 | -0.197* | |||||||
| (0.107) | ||||||||
| Firm Traits * COVID19 | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Firm fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry-time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Economy-time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
| Coefficient differences | Family Manager versus Not Manager | Family Direct versus Pyramid | Corporation Large versus Small | Management Ownership High versus Low | Management Ownership (Dummy) High versus Low | |||
| F-statistic | 6.69** | 1.91 | 3.39* | 16.88*** | 9.89*** | |||
| p-value | (0.012) | (0.172) | (0.071) | (0.000) | (0.003) | |||
| Number of observations | 126,669 | 126,669 | 126,669 | 126,669 | 126,669 | 122,346 | 122,346 | 122,346 |
| Adjusted R-squared | 0.504 | 0.504 | 0.504 | 0.504 | 0.504 | 0.506 | 0.506 | 0.506 |
| Number of firms | 6,039 | 6,039 | 6,039 | 6,039 | 6,039 | 5,833 | 5,833 | 5,833 |