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We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.
Daniel Neukirchen; Nils Engelhardt; Miguel Krause; Peter N. Posch. Firm efficiency and stock returns during the COVID-19 crisis. Finance Research Letters 2021, 102037 .
AMA StyleDaniel Neukirchen, Nils Engelhardt, Miguel Krause, Peter N. Posch. Firm efficiency and stock returns during the COVID-19 crisis. Finance Research Letters. 2021; ():102037.
Chicago/Turabian StyleDaniel Neukirchen; Nils Engelhardt; Miguel Krause; Peter N. Posch. 2021. "Firm efficiency and stock returns during the COVID-19 crisis." Finance Research Letters , no. : 102037.
We investigate if trust affects global stock market volatility during the COVID-19 pandemic. Using a sample of 47 national stock markets, we find the stock markets’ volatility to be significantly lower in high-trust countries (in reaction to COVID-19 case announcements). Both trust in fellow citizens as well as in the countries’ governments are of significant importance.
Nils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter N. Posch. Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters 2020, 38, 101873 .
AMA StyleNils Engelhardt, Miguel Krause, Daniel Neukirchen, Peter N. Posch. Trust and stock market volatility during the COVID-19 crisis. Finance Research Letters. 2020; 38 ():101873.
Chicago/Turabian StyleNils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter N. Posch. 2020. "Trust and stock market volatility during the COVID-19 crisis." Finance Research Letters 38, no. : 101873.
We explore if the corona-crash 2020 was driven by news attention or rational expectations about the pandemic’s economic impact. Using a sample of 64 national stock markets covering 94% of the world’s GDP, we find the stock markets’ decline to be mainly associated with higher news attention and less with rational expectation. We estimate the economic cost from the news hype to amount to USD 3.5 trillion for the US and USD 200 billion on average for the rest of the G8 countries.
Nils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter Posch. What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation. Sustainability 2020, 12, 5014 .
AMA StyleNils Engelhardt, Miguel Krause, Daniel Neukirchen, Peter Posch. What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation. Sustainability. 2020; 12 (12):5014.
Chicago/Turabian StyleNils Engelhardt; Miguel Krause; Daniel Neukirchen; Peter Posch. 2020. "What Drives Stocks during the Corona-Crash? News Attention vs. Rational Expectation." Sustainability 12, no. 12: 5014.