Table 3.

Heterogeneities in the non-critical business effect on stock prices during the COVID-19 pandemic.

Dependent variable:	$log\left(p_{i,g,s,c,t}\right)$
Time window:	May$\left|19\text{-Oct}\right|$20 ($\pm$ 8 months)
Specification:	(1)	(2)	(3)
COVID-19${}_t$ × Non-critical${}_g$	−0.0676${}^{\ast \ast }$	−0.0553${}^{\ast }$	−0.0585${}^{\ast }$
	(0.033)	(0.030)	(0.032)
COVID-19${}_t$ × Leverage${}_i$	0.0018${}^{\ast \ast }$
	(0.001)
COVID-19${}_t$ × Non-critical${}_g$ × Leverage${}_i$	−0.0681${}^{\ast }$
	(0.038)
COVID-19${}_t$ × Intangible intensity${}_i$		0.0269${}^{\ast \ast \ast }$
		(0.010)
COVID-19${}_t$ × Non-critical${}_g$ × Intangible intensity${}_i$		0.0298${}^{\ast \ast }$
		(0.014)
COVID-19${}_t$ × HRM ineffectiveness${}_i$			−0.0010
			(0.002)
COVID-19${}_t$ × Non-critical${}_g$ × HRM ineffectiveness${}_i$			−0.1313${}^{\ast \ast \ast }$
			(0.045)
Error clustering
Industrial group	Yes	Yes	Yes
Ex-ante controls
Firm	Yes	Yes	Yes
Country	Yes	Yes	Yes
Fixed effects
Firm	Yes	Yes	Yes
Time × Subsector	Yes	Yes	Yes
Observations	986,216	1,007,391	711,172
$R$2	0.990	0.990	0.990

Note: This table reports coefficient estimates for the specification in Eq. (3). The dependent variable $log\left(p_{i,g,s,c,t}\right)$ represents the logarithm of the week’s closing price of the stock of firm $i$. We use the following firm-specific characteristics to compose the transmission factor $Facto{r}_i$: leverage (Spec. 1), intangible intensity (Spec. 2), and HRM ineffectiveness (Spec. 3). We include ex-ante controls for firm (fixed with the latest observed values in 2019): Market capitalization, Total assets, EBITDA and Price-to-book. We also include ex-ante controls for country (fixed with 2019 values): GDP per capita, Unemployment, Inflation, Country openness and Population. All ex-ante controls are interacted with time to avoid collinearity with fixed effects. $Non\text{-}critica{l}_g$ identifies whether the industrial group $g$ of firm $i$ is a non-essential economic activity. $COVID\text{-}19_t$ is equal to 1 if $t\ge$ 2020-01-31 and 0 otherwise. We cluster errors at the industrial group level, which coincides with the level of variation of the variable $Non\text{-}critica{l}_g$. We report results for a time window of eight months centered on the event in order to cover the first wave of the pandemic. Statistical significance: ${}^{\ast }$ $p$-value $<0.10$; ${}^{\ast \ast }$ $p$-value $<0.05$; ${}^{\ast \ast \ast }$ $p$-value $<0.01$.