We investigate whether COVID-19 uncertainty affects the stock market's reaction to macroeconomic news. We construct a daily measure of fundamental health uncertainty as the dispersion in the change in new cases across all 50 U.S. states. If, over a given week, the number of new cases goes down...

We investigate whether COVID-19 uncertainty affects the stock market’s reaction to macroeconomic news. We construct a daily measure of fundamental health uncertainty as the dispersion in the change in new cases across all 50 U.S. states. While the weekly release of initial jobless claims has...