Table 10.
Corporate characteristics, alternative sample.
This table presents the analyses using alternative samples. In Columns 1 and 2, the sample period starts in December 2019 and November 2019, respectively. The sample period in Column 3 covers only the first quarter of 2020. The sample in Column 4 excludes the energy sector. Columns 5 and 6 use countries with more than five or ten firms. Variables are defined in the main text and tables. 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 |
||||||
|---|---|---|---|---|---|---|
| Since December 2019 | Since November 2019 | 2020 Q1 | Excluding energy sector | Countries with more than five firms | Countries with more than ten firms | |
| Variable | (1) | (2) | (3) | (4) | (5) | (6) |
| Firm Size * COVID19 | -0.003 | -0.005 | -0.015 | 0.024 | 0.014 | 0.013 |
| (0.032) | (0.028) | (0.037) | (0.032) | (0.035) | (0.035) | |
| Leverage * COVID19 | -1.034*** | -1.007*** | -1.148*** | -1.291*** | -1.100*** | -1.096*** |
| (0.197) | (0.189) | (0.173) | (0.330) | (0.236) | (0.238) | |
| Cash * COVID19 | 1.346*** | 1.210*** | 1.178** | 1.186** | 1.234** | 1.233** |
| (0.484) | (0.383) | (0.548) | (0.562) | (0.526) | (0.526) | |
| ROA * COVID19 | 1.617*** | 1.453*** | 1.403*** | 1.859*** | 1.815*** | 1.817*** |
| (0.378) | (0.320) | (0.365) | (0.483) | (0.426) | (0.425) | |
| Suppliers’ Exposure | -0.266*** | -0.264*** | -0.362*** | -0.340*** | -0.286*** | -0.290*** |
| (0.083) | (0.082) | (0.083) | (0.075) | (0.085) | (0.085) | |
| Customers’ Exposure | -0.715*** | -0.737*** | -0.684*** | -0.735*** | -0.735*** | -0.734*** |
| (0.160) | (0.165) | (0.168) | (0.173) | (0.168) | (0.168) | |
| CSR Score * COVID19 | 0.598* | 0.521 | 0.453* | 0.688* | 0.678* | 0.669* |
| (0.340) | (0.316) | (0.257) | (0.376) | (0.387) | (0.392) | |
| Antitakeover Devices * COVID19 | -0.037** | -0.032** | -0.036** | -0.064*** | -0.049** | -0.049** |
| (0.015) | (0.014) | (0.017) | (0.021) | (0.020) | (0.020) | |
| Board Size * COVID19 | 0.016 | 0.013 | 0.010 | 0.014 | 0.015 | 0.015 |
| (0.016) | (0.013) | (0.013) | (0.018) | (0.017) | (0.017) | |
| Individual/Family * COVID19 | 0.377*** | 0.305** | 0.431** | 0.413*** | 0.440*** | 0.437*** |
| (0.129) | (0.115) | (0.196) | (0.153) | (0.161) | (0.162) | |
| Bank and Other FI * COVID19 | 0.177 | 0.152 | 0.250* | 0.123 | 0.194 | 0.178 |
| (0.132) | (0.116) | (0.143) | (0.143) | (0.139) | (0.138) | |
| Corporation * COVID19 | 0.210* | 0.203* | 0.363*** | 0.252** | 0.282** | 0.281** |
| (0.124) | (0.107) | (0.124) | (0.119) | (0.116) | (0.115) | |
| Government * COVID19 | 0.222* | 0.227* | 0.258* | 0.124 | 0.200 | 0.212 |
| (0.128) | (0.127) | (0.148) | (0.127) | (0.137) | (0.139) | |
| Hedge Fund * COVID19 | -4.161*** | -4.054*** | -3.174*** | -4.494*** | -4.001*** | -4.004*** |
| (0.641) | (0.523) | (0.894) | (0.885) | (0.801) | (0.801) | |
| Other AMC * COVID19 | -1.136*** | -1.177*** | -0.190 | -0.694** | -0.845*** | -0.842*** |
| (0.239) | (0.223) | (0.324) | (0.294) | (0.247) | (0.247) | |
| Management Ownership * COVID19 | -0.614** | -0.542** | -0.488* | -0.525** | -0.627** | -0.636** |
| (0.236) | (0.216) | (0.245) | (0.217) | (0.244) | (0.241) | |
| Firm fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
| Industry-time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
| Economy-time fixed effects | Yes | Yes | Yes | Yes | Yes | Yes |
| Number of observations | 123,900 | 148,705 | 64,493 | 100,360 | 103,749 | 103,522 |
| Adjusted R-squared | 0.500 | 0.477 | 0.530 | 0.518 | 0.515 | 0.516 |
| Number of firms | 4,961 | 4,961 | 4,961 | 4,785 | 4,946 | 4,935 |