Firm efficiency and stock returns during the COVID-19 crisis

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...

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Detalles Bibliográficos
Autores principales: Neukirchen, Daniel, Engelhardt, Nils, Krause, Miguel, Posch, Peter N.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8733966/
https://www.ncbi.nlm.nih.gov/pubmed/35013672
http://dx.doi.org/10.1016/j.frl.2021.102037
Descripción
Sumario: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.

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