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Review of Financial Studies Vol. 36 No. 12 2023

Firm-Level Exposure to Epidemic Diseases: COVID-19, SARS, and H1N1

Tarek A. Hassan1; Stephan Hollander2; Laurence van Lent3; Markus Schwedeler4; Ahmed Tahoun5

1 Boston University , USA , NBER, and CEPR · 2 Tilburg University The Netherlands · 3 Frankfurt School of Finance and Management Germany · 4 Boston University , USA · 5 London Business School UK

Abstract

We construct text-based measures of the primary concerns listed firms associated with the spread of COVID-19 and other epidemic diseases. We identify which firms perceive to lose or gain from a given epidemic and textually decompose the epidemic’s effect on the firm’s demand and supply. We find that the effects of COVID-19 manifest as a simultaneous shock to demand and supply, with both shocks affecting firms’ market valuations in equal measure on average. By contrast, demand-related impacts appear more important in accounting for the observed collapse in firm-level investment during the COVID-19 crisis.

DOI
10.1093/rfs/hhad044
Volume
36
Issue
12
Pages
4919-4964
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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