| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27867 |
| 来源ID | Working Paper 27867 |
| Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19 | |
| Steven J. Davis; Stephen Hansen; Cristhian Seminario-Amez | |
| 发表日期 | 2020-09-28 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Firm-level stock returns differ enormously in reaction to COVID-19 news. We characterize these reactions using the Risk Factors discussions in pre-pandemic 10-K filings and two text-analytic approaches: expert-curated dictionaries and supervised machine learning (ML). Bad COVID-19 news lowers returns for firms with high exposures to travel, traditional retail, aircraft production and energy supply—directly and via downstream demand linkages—and raises them for firms with high exposures to healthcare policy, e-commerce, web services, drug trials and materials that feed into supply chains for semiconductors, cloud computing and telecommunications. Monetary and fiscal policy responses to the pandemic strongly impact firm-level returns as well, but differently than pandemic news. Despite methodological differences, dictionary and ML approaches yield remarkably congruent return predictions. Importantly though, ML operates on a vastly larger feature space, yielding richer characterizations of risk exposures and outperforming the dictionary approach in goodness-of-fit. By integrating elements of both approaches, we uncover new risk factors and sharpen our explanations for firm-level returns. To illustrate the broader utility of our methods, we also apply them to explain firm-level returns in reaction to the March 2020 Super Tuesday election results. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; COVID-19 |
| URL | https://www.nber.org/papers/w27867 |
| 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/585541 |
| 推荐引用方式 GB/T 7714 | Steven J. Davis,Stephen Hansen,Cristhian Seminario-Amez. Firm-Level Risk Exposures and Stock Returns in the Wake of COVID-19. 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 | ||
| w27867.pdf（1063KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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