COVID-19 pandemic and firm-level dynamics in the USA, UK, Europe, and Japan

Ahmad, Wasim; Kutan, Ali M.; Chahal, Rishman Jot Kaur; and Kattumuri, RuthORCID logo COVID-19 pandemic and firm-level dynamics in the USA, UK, Europe, and Japan. International Review of Financial Analysis, 78: 101888. ISSN 1057-5219
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This paper examines the impact of the coronavirus pandemic during its first and second waves for the USA, UK, Europe, and Japan. We explore the firm-level dynamics and exhibit the impact of coronavirus events on large and small firms and firms' idiosyncratic risk. We find that the intensity of the impact of the coronavirus pandemic events is not uniform for firms. The Blank Swan events in March 2020 exhibit stronger impact the second wave till April 2021. The second wave analysis reveals the sign of recovery and receding effect of the pandemic. The idiosyncratic analysis shows the positive impact of the coronavirus and stringency measures on the idiosyncratic risk.
Item Type Article
Keywords Covid-19,event study,idiosyncratic risk,stock returns,structural break,coronavirus
Departments India Observatory
DOI 10.1016/j.irfa.2021.101888
Date Deposited 18 Oct 2021 08:54
URI https://researchonline.lse.ac.uk/id/eprint/112454

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