COVID-19 and the cross-section of equity returns : impact and transmission

Using the first reported case of COVID-19 in a given US county as the event day, firms headquartered in an affected county experience an average 27 bps lower return in the 10-day post-event. This negative effect nearly doubles in magnitude for firms in counties with a higher infection rate (-50 bps). We test a number of transmission channels. Firms belonging to labor intensive industries and residing in counties with large mobility decline have worse stock performance. Firms sensitive to COVID-19 induced uncertainty also exhibit more negative returns. Finally, firms associated with downward earnings forecast revisions are more impacted