Variable	Definition	Source
Weekly Stock Return	Weekly stock return of each firm in a week is calculated by using dividend-adjusted closing prices on the last trading day of the week.	Thomson Reuters Datastream
Abnormal Return	Weekly stock return of each firm minus beta times domestic market returns, where beta is provided by Thomson Reuters and calculated using monthly data relative to the domestic stock market value-weighted index over the last five years.	Thomson Reuters Datastream
COVID19	Growth rate of the number of confirmed COVID-19 cases in an economy. For economy c in week t, COVID19 = log(1+Cumulative Cases in week t) – log(1+Cumulative Cases in week t-1), where Cumulative Cases is the cumulative number of confirmed cases in an economy.	Johns Hopkins University Center for Systems Science and Engineering (JHU CSSE)
COVID19, Active	Growth rate of the number of active COVID-19 cases in an economy. For economy c in week t, COVID19, Active = log(1+Active Cases in week t) – log(1+Active Cases in week t - 1), where Active Cases = Cumulative Cases (the cumulative number of confirmed cases) – Recoveries (the number of recoveries) – Deaths (the number of deaths).	JHU CSSE
COVID19, Testing Adjusted 1	Change in the proportion of positive tests in economy c in week t. $COVID{19}_{c,t},TestingAdjusted1=\frac{\Delta Case{s}_{c,t}}{\Delta Test{s}_{c,t}}-\frac{\Delta Case{s}_{c,t-1}}{\Delta Test{s}_{c,t-1}}$, where ∆Casesc,t is the number of newly confirmed cases in economy c in week t, i.e., ∆Casesc,t = Cumulative Casesc,t – Cumulative Casesc,t-1. ∆Testsc,t is the number of tests for COVID-19 performed during week t in economy c and equals Total Testsc,t – Total Testsc,t-1. We multiply COVID19, Testing Adjusted 1 by one hundred.	JHU CSSE; Foundation for Innovative New Diagnostics (FIND)
COVID19, Testing Adjusted 2	Percentage change in the ratio of positive results per test in economy c in week t. $\begin{array}{c}COVID{19}_{c,t},TestingAdjusted2=\ln \left(1+CumulativeCase{s}_{c,t}/TotalTest{s}_{c,t}\right)\hfill \\ -\ln \left(1+CumulativeCase{s}_{c,t-1}/TotalTest{s}_{c,t-1}\right)\hfill \end{array}$, where Total Testsc,t is the total number of tests for COVID-19 performed in economy c as of Friday in week t. Cumulative Cases is the cumulative number of confirmed cases in economy c as of Friday in week t. We multiply COVID19, Testing Adjusted 2 by one hundred.	JHU CSSE; FIND
Firm characteristics
Firm Size	Natural logarithm of the book value of total assets.	Thomson Reuters Worldscope
Leverage	Ratio of total debt divided by total assets.	Thomson Reuters Worldscope
Cash	Total amount of cash and short-term investments divided by total assets.	Thomson Reuters Worldscope
ROA	Net income divided by total assets.	Thomson Reuters Worldscope
ROA (Operating Income)	Operating income divided by total assets. Operating income equals total sales minus total operating expenses.	Thomson Reuters Worldscope
ROA (EBITDA)	Earnings before interest expense, income taxes, depreciation, and amortization (EBITDA) divided by total assets.	Thomson Reuters Worldscope
ROA (EBIT)	Earnings before interest expense and income taxes (EBIT) divided by total assets.	Thomson Reuters Worldscope
Undrawn Credit	Amount of undrawn revolving credit divided by total assets.	Capital IQ Capital Structure
Maturing Debt	Total amount of outstanding debt due during the last three quarters of 2020 divided by total debt at the end of 2019.	Capital IQ Capital Structure
Suppliers’ Exposure	For each firm f in week t, the weighted average of COVID19 among countries in which the firm's suppliers are situated, where the weights are the number of a firm's pre-pandemic suppliers from a country as a fraction of the firm's total number of suppliers and COVID19 varies weekly as defined above.	FactSet Revere; JHU CSSE
Customers’ Exposure	For each firm f in week t, the weighted average of COVID19 among countries in which the firm sells its products, where the weights are the proportion of the firm's pre-pandemic revenues in a country and COVID19 varies weekly as defined above.	FactSet Revere; JHU CSSE
CSR Score	Average of the indices of Environmental, Social, and CSR Strategy, measuring a firm's commitment to the environment, including resource use, emissions, and green innovation; non-shareholder stakeholders and social themes, including employee welfare, human rights, and the ethical treatment of customers, suppliers, and the communities in which the firm operates; and operationalizing and implementing corporate social responsibility (CSR) activities.	Thomson Reuters ASSET4
Environmental	Contains three components (resource usage, emission reduction, and green innovation), reflecting a company's performance and capacity to reduce the use of materials, energy, or water and to find more eco-efficient solutions by improving supply chain management, commitment and effectiveness toward reducing environmental emissions in the production and operational processes, and capacity to reduce the environmental costs and burdens for its customers, thereby creating new market opportunities through new environmental technologies and processes or eco-designed products.	Thomson Reuters ASSET4
Social	Index aggregating information on the extent to which firms enhance employee welfare (Workforce), promote human rights (Human Rights), engage in community development (Community), and fulfill their responsibilities to consumers (Product Responsibility).	Thomson Reuters ASSET4
CSR Strategy	Index including information on the degree to which firms organize, operationalize, and implement CSR strategies. It covers whether firms have a CSR sustainability committee, publish CSR, health and safety, and sustainability reports and whether those reports are published in accordance with the Global Report Initiative Guidelines, have an external audit on CSR-related issues, explicitly integrate financial and extra-financial factors in the management discussion and analysis section of the annual reports, and explain how firms engages with their stakeholders.	Thomson Reuters ASSET4
Antitakeover Devices	Equals the number of antitakeover devices in place if greater than two and zero otherwise. The data cover an array of antitakeover devices, including poison pills, classified boards, blank checks, supermajority votes, dual-class shares, golden parachutes, limited shareholder rights to call for special meetings, cumulative voting rights, preemptive rights, company cross-shareholdings, confidential voting policies, limited director liability, shareholder approval of significant transactions, fair price provisions, limitations on removal of directors, advance notice for shareholder proposals, written consent requirements, and expanded constituency provisions.	Thomson Reuters ASSET4
Board Size	Total number of board members.	Thomson Reuters ASSET4
Board Independence	Percentage of independent board members of a company.	Thomson Reuters ASSET4
Performance-based Compensation	Indicator equal to one if the firm has a performance-based compensation policy for the higher-level executives and board members and zero otherwise.	Thomson Reuters ASSET4
Executive Compensation LT Objectives	Indicator that equals one if executive and board compensation are partially linked to longer-term objectives, i.e., objectives that are more than two years in the future, and zero otherwise.	Thomson Reuters ASSET4
Individual/Family	Indicator that equals one if a firm has an ultimate controlling shareholder classified as individuals or families and zero otherwise.	Bureau van Dijk Orbis
Individual/Family (Direct)	Indicator that equals one if a firm is controlled by an individual or family ultimate owner through direct holdings and zero otherwise.	Bureau van Dijk Orbis
Individual/Family (Pyramid)	Indicator that equals one if a firm is controlled by an individual or family ultimate owner through multiple layers of control links and zero otherwise.	Bureau van Dijk Orbis
Individual/Family (Manager)	Indicator that equals one if the family owner of a firm is also the manager (chief executive officer or executive director) and zero otherwise.	Bureau van Dijk Orbis
Individual/Family (Not Manager)	Indicator that equals one if the family owner of a firm is not a manager and zero otherwise.	Bureau van Dijk Orbis
Government	Indicator that equals one if a firm has an ultimate controlling shareholder classified as governments and zero otherwise.	Bureau van Dijk Orbis
Corporation	Indicator that equals one if a firm has an ultimate controlling shareholder classified as widely held corporations and zero otherwise.	Bureau van Dijk Orbis
Corporation (Large)	Indicator that equals one when the size of the controlling corporation is in the top tercile of the size distribution of all firms and zero otherwise.	Bureau van Dijk Orbis
Corporation (Small)	Indicator that equals one when the size of the controlling corporation is not in the top tercile of the size distribution of all firms and zero otherwise.	Bureau van Dijk Orbis
Bank and Other FI	Indicator that equals one if a firm has an ultimate controlling shareholder classified as banks or other financial institutions and zero otherwise.	Bureau van Dijk Orbis
Asset Management Companies	Total holdings of blockholders that are asset management companies (AMCs) as a proportion of all shares, where AMCs include mutual funds, investment and asset management companies, investment banks, hedge funds, financial companies, and private equity and venture capital firms. Blockholders refer to investors who own at least 5% of the total outstanding shares.	Thomson Reuters Ownership
Hedge Fund	Total holdings of hedge fund blockholders as a proportion of all shares. A hedge fund is a firm that is permitted to use aggressive strategies that are unavailable to traditional funds, including selling short, leverage, program trading, swaps, arbitrage, and derivatives, such as Citadel, Two Sigma, and Renaissance Technologies.	Thomson Reuters Ownership
Other AMC	Total holdings of blockholders that are asset management companies excluding hedge funds.	Thomson Reuters Ownership
Management Ownership	Total percentage of management shareholding.	Bureau van Dijk Orbis
Management Ownership (Low)	Equals Management Ownership if it is below the median of sample firm with nonzero management ownership and zero otherwise.	Bureau van Dijk Orbis
Management Ownership (High)	Equals Management Ownership if it is above the median of sample firm with nonzero management ownership and zero otherwise.	Bureau van Dijk Orbis
Management Ownership (Dummy, Low)	Dummy variable that equals one if Management Ownership is below the median of sample firm with nonzero management ownership and zero otherwise.	Bureau van Dijk Orbis
Management Ownership (Dummy, Medium)	Dummy variable that equals one if Management Ownership is between the median and the 75th percentile of sample firm with nonzero management ownership and zero otherwise.	Bureau van Dijk Orbis
Management Ownership (Dummy, High)	Dummy variable that equals one if Management Ownership is above the 75th percentile of sample firm with nonzero management ownership and zero otherwise.	Bureau van Dijk Orbis
Economy traits
Weekly Market Return	Weekly return on the stock market index for country c from the last trading day in week t - 1 to the last trading day in week t. We use the most representative market index in each country.	Thomson Reuters Datastream
COVID19 (Italy), Distance-wgt	For each country c, we use the growth of cases in Italy in week t, weighted by the inverse distance between country c and Italy.	JHU CSSE
COVID19 (China), Distance-wgt	For each country c, we use the growth of cases in China in week t, weighted by the inverse distance between country c and China.	JHU CSSE
#Weeks since 100th Case	Number of weeks since the number of confirmed COVID-19 cases in an economy reaches 100.	JHU CSSE
Lockdown	Sum of eight indicators of government containment and closure policies: closings of schools and universities, workplaces, canceling of public events, limits on private gatherings, closing of public transport, orders to shelter-in-place, restrictions on internal movement between cities or regions, and restrictions on international travel. We normalize each of the measures to range between zero and one, and we sum the eight measures for each country and time period.	Oxford COVID-19 Government Response Tracker
Fiscal Stimulus	First principal component of indicators on direct government cash payments to people who lose their jobs or cannot work, government-provided relief to households from financial obligations, and fiscal stimulus spending as a share of gross domestic product (GDP).	Oxford COVID-19 Government Response Tracker
Corporate Debt Purchase (Dummy)	Indicator that equals one for a country in the weeks after the government announced the purchase of corporate bonds and zero otherwise.	IMF Policy Tracker
Corporate Debt Purchase	Cumulative amount of government corporate bond purchases as of Friday of each week divided by the total amount of pre-pandemic corporate debt outstanding in the same country (in percentage).	IMF Policy Tracker; IMF Global Debt Database
Government Debt to GDP	Ratio of total government debt to GDP (in percentage), measured in 2017.	Global Financial Development Database
GDP per Capita	Natural logarithm of GDP per capita in 2018.	World Development Indicators
GDP Growth	Growth rate of GDP, measured in 2018.	World Development Indicators
%Population (Above Age 65)	Percentage of population above age 65 among the total population of an economy in 2018.	World Development Indicators
Civil Law	Indicator equals one if a country's legal heritage is civil law and zero if it has a common law legal tradition.	La Porta et al. (2008)
Social Norms	Indicator equals one if the country has both Environmental Priority and Human Rights score above the sample median and zero otherwise. Environmental Priority is the percentage of respondents prioritizing the environment to the economies. Human Rights measures the degree to which respondents consider that their countries respect human rights.	World Values Survey