Table 4.

Estimation of the role of telework propensity in the stock prices of non-critical companies during the pandemic.

Dependent variable:	$log\left(p_{i,s,z,c,t}\right)$
Time window:	May$\left|19\text{-Oct}\right|$20 ($\pm$ 8 months)
Sample:	Non-critical	Non-critical	Non-critical (Ex-U.S.)	Non-critical (Ex-Dev.)
Specification:	(1)	(2)	(3)	(4)
COVID-19${}_t$ × Telework propensity${}_s$	0.1020${}^{\ast \ast \ast }$	0.1119${}^{\ast \ast \ast }$	0.0907${}^{\ast \ast \ast }$	0.0847${}^{\ast \ast \ast }$
	(0.021)	(0.022)	(0.020)	(0.019)
Ex-ante controls
Firm	Yes	No	Yes	Yes
Country	Yes	No	Yes	Yes
Fixed effects
Firm	Yes	No	Yes	Yes
Time × Sector	Yes	Yes	Yes	Yes
Error clustering
Subsector	Yes	Yes	Yes	Yes
Observations	616,616	616,616	524,139	148,764
$R$2	0.989	0.037	0.989	0.985

Note: This table reports coefficient estimates for the specification in Eq. (4) using a sample restricted to firms in non-critical industrial groups. The dependent variable $log\left(p_{i,s,z,c,t}\right)$ represents the logarithm of the week’s closing price of the stock of firm $i$. We include ex-ante firm-specific controls (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. $Teleworkpropensit{y}_s$ represents the share of the workforce in subsector $s$ of firm $i$ that can work from home. $COVID\text{-}19_t$ is equal to 1 if $t\ge$ 2020-01-31 and 0 otherwise. We cluster errors at the subsector level, which coincides with the level of variation of the variable $Teleworkpropensit{y}_s$. We report results for a time window of eight months centered on the event to cover the first wave of the pandemic. In Spec. (2), we remove all controls and firm fixed effects to decrease the saturation of the model. To address potential problems with our identification strategy in Spec. (3), we perform the estimation without stocks of firms traded on the U.S. market. In Spec. (4), we perform the estimation without stocks of firms traded in developed markets. Statistical significance: ${}^{\ast }$ $p$-value $<0.10$; ${}^{\ast \ast }$ $p$-value $<0.05$; ${}^{\ast \ast \ast }$ $p$-value $<0.01$.