Table 8.
Corporate characteristics: simultaneous analyses.
The table reports regression results of how stock prices respond to the COVID-19 pandemic as functions of pre-pandemic corporate characteristics, including corporate financial conditions, international supply chain and customer exposure to the pandemic, corporate social responsibility, corporate governance systems, and ownership structure. The dependent variable is the weekly stock return of each firm in a week in Columns 1–6 and abnormal returns in Columns 7–8. The variables are defined in the earlier tables and the Appendix. The measure of COVID19 in Columns 5 and 6 uses the growth rate of active cases, which accounts for the number of recoveries and deaths from the COVID-19 virus. We include firm, industry by week, and economy by week fixed effects in all columns. 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 |
Abnormal Return |
|||||||
|---|---|---|---|---|---|---|---|---|
| COVID19, Active |
||||||||
| Variable | (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) |
| Firm Size * COVID19 | 0.039 | 0.014 | 0.053 | 0.019 | 0.048 | 0.019 | 0.082 | 0.076 |
| (0.032) | (0.036) | (0.034) | (0.037) | (0.037) | (0.036) | (0.053) | (0.053) | |
| Leverage * COVID19 | -1.174*** | -1.099*** | -1.314*** | -1.168*** | -1.104*** | -0.964*** | -1.140*** | -1.114*** |
| (0.213) | (0.235) | (0.203) | (0.211) | (0.206) | (0.212) | (0.218) | (0.230) | |
| Cash * COVID19 | 1.209** | 1.243** | 1.804*** | 1.661*** | 1.645*** | 1.512** | 2.411*** | 2.319*** |
| (0.490) | (0.521) | (0.598) | (0.610) | (0.591) | (0.602) | (0.508) | (0.578) | |
| ROA * COVID19 | 1.842*** | 1.818*** | 2.243** | 2.121** | 1.897** | 1.777* | 0.908* | 0.887 |
| (0.378) | (0.424) | (1.018) | (1.043) | (0.938) | (0.929) | (0.498) | (0.537) | |
| Undrawn Credit * COVID19 | 1.148*** | 0.993*** | 0.816** | 0.722** | 1.365*** | 1.279*** | ||
| (0.406) | (0.362) | (0.404) | (0.358) | (0.439) | (0.421) | |||
| Maturing Debt * COVID19 | -0.493*** | -0.398*** | -0.444*** | -0.374*** | -0.600*** | -0.545** | ||
| (0.112) | (0.118) | (0.105) | (0.102) | (0.209) | (0.207) | |||
| Suppliers’ Exposure | -0.303*** | -0.285*** | -0.257** | -0.245** | -0.219* | -0.200 | -0.468*** | -0.458*** |
| (0.089) | (0.085) | (0.109) | (0.110) | (0.131) | (0.139) | (0.169) | (0.164) | |
| Customers’ Exposure | -0.740*** | -0.732*** | -0.624*** | -0.619*** | -0.601*** | -0.613*** | -1.112*** | -1.069*** |
| (0.175) | (0.168) | (0.163) | (0.156) | (0.138) | (0.128) | (0.269) | (0.269) | |
| CSR Score * COVID19 | 0.751* | 0.676* | 0.950* | 0.906* | 0.883* | 0.852* | 0.958* | 0.883* |
| (0.382) | (0.387) | (0.513) | (0.520) | (0.454) | (0.452) | (0.515) | (0.521) | |
| Antitakeover Devices * COVID19 | -0.061*** | -0.050** | -0.064*** | -0.048*** | -0.058*** | -0.044*** | -0.032** | -0.017 |
| (0.020) | (0.019) | (0.017) | (0.016) | (0.015) | (0.015) | (0.014) | (0.013) | |
| Board Size * COVID19 | 0.019 | 0.015 | 0.025 | 0.020 | 0.023 | 0.017 | 0.029 | 0.020 |
| (0.016) | (0.017) | (0.022) | (0.023) | (0.019) | (0.020) | (0.020) | (0.021) | |
| Individual/Family * COVID19 | 0.449*** | 0.733*** | 0.706*** | 0.584*** | ||||
| (0.159) | (0.150) | (0.129) | (0.176) | |||||
| Bank and Other FI * COVID19 | 0.194 | 0.225 | 0.177 | 0.557*** | ||||
| (0.138) | (0.182) | (0.170) | (0.163) | |||||
| Corporation * COVID19 | 0.273** | 0.307*** | 0.219** | 0.303** | ||||
| (0.114) | (0.102) | (0.090) | (0.129) | |||||
| Government * COVID19 | 0.205 | 0.258 | 0.198 | 0.402 | ||||
| (0.137) | (0.246) | (0.219) | (0.312) | |||||
| Hedge Fund * COVID19 | -3.998*** | -5.147*** | -4.491*** | -2.713** | ||||
| (0.802) | (0.863) | (1.299) | (1.044) | |||||
| Other AMC * COVID19 | -0.843*** | -0.771*** | -0.631*** | -0.050 | ||||
| (0.246) | (0.219) | (0.234) | (0.497) | |||||
| Management Ownership * COVID19 | -0.637** | -0.579* | -0.612** | -0.719 | ||||
| (0.241) | (0.323) | (0.303) | (0.449) | |||||
| 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 |
| Number of observations | 106,679 | 104,056 | 69,657 | 67,768 | 69,657 | 67,768 | 69,582 | 67,706 |
| Adjusted R-squared | 0.513 | 0.515 | 0.539 | 0.541 | 0.539 | 0.541 | 0.182 | 0.180 |
| Number of firms | 5,086 | 4,961 | 3,321 | 3,231 | 3,321 | 3,231 | 3,318 | 3,228 |