How Do Investors React to Different Types of Economic Uncertainty? Empirical Analysis of Great East-Japan Earthquake and COVID-19

This paper uses two economic shocks, a catastrophic earthquake, the Great East-Japan Earthquake, that hit Japan on March 11, 2011 and the pandemic in 2020, to determine if investors respond differently by the types of economic shocks. We analyze the factors affecting the abnormal returns during the two shocks. Especially we focus on the five variables: CSR (corporate social responsibility) ratings, firm size, ROE, Market-to-Book ratio, and market beta. Our empirical analysis shows that investors react in different ways against the two crises implying that the characteristics of the shock could affect the flight-to-safety behavior by investors