| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26950 |
| 来源ID | Working Paper 26950 |
| Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time | |
| Laura Alfaro; Anusha Chari; Andrew N. Greenland; Peter K. Schott | |
| 发表日期 | 2020-04-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We show that unexpected changes in the trajectory of COVID-19 infections predict US stock returns, in real time. Parameter estimates indicate that an unanticipated doubling (halving) of projected infections forecasts next-day decreases (increases) in aggregate US market value of 4 to 11 percent, indicating that equity markets may begin to rebound even as infections continue to rise, if the trajectory of the disease becomes less severe than initially anticipated. Using the same variation in unanticipated projected cases, we find that COVID-19-related losses in market value at the firm level rise with capital intensity and leverage, and are deeper in industries more conducive to disease transmission. These relationships provide important insight into current record job losses. Measuring US states' drops in market value as the employment weighted average declines of the industries they produce, we find that states with milder drops in market value exhibit larger initial jobless claims per worker. This initially counter-intuitive result suggests that investors value the relative ease with which labor versus capital costs can be shed as revenues decline. |
| 主题 | Macroeconomics ; Consumption and Investment ; International Economics ; Trade ; Financial Economics ; Portfolio Selection and Asset Pricing ; COVID-19 |
| URL | https://www.nber.org/papers/w26950 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584622 |
| 推荐引用方式 GB/T 7714 | Laura Alfaro,Anusha Chari,Andrew N. Greenland,et al. Aggregate and Firm-Level Stock Returns During Pandemics, in Real Time. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26950.pdf（1002KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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