With the emergence and spreading of COVID-19 pandemic all over the world, the uncertainty has been increasing for countries. Depending on this condition, especially emerging countries have been affected negatively by foreign portfolio investment outflows from stock exchanges, and main stock...

This study examines how sovereign CDS spreads of Turkey behave in COVID-19 pandemic times by considering that CDS spreads reflect the riskiness, vulnerability, financial stability, and macroeconomic stability of countries and CDS spreads of most of the emerging countries have increased with the...

We propose in this paper a simulation framework of pandemic in financial system composed of banks, asset markets and interbank markets. This framework aims at complementing the usual stress-test strategies that evaluate the impact of shocks on individual balance-sheets without taking into...

I examine corporate pandemic bonds, whose proceeds are committed to COVID-19 containing activities. I find an average cumulative abnormal return of 1.33–1.71% during the five trading days surrounding their issuance announcement. Also, their yield spread is 13.8–20.9 basis points lower than...

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....

The net selling amount and foreign investors’ retention share have been criticized due to the effects on stock exchange indices. The study focuses on the development of the main index in Turkey (XU100 index) by examining two sub-parts (i.e. before and in COVID-19 pandemic). Daily data between...

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. An empirical analysis shows that the rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse...

This paper documents a durable increase in the cross-sectoral dispersion of earnings expectations during the COVID-19 crisis. The rise in dispersion of earnings forecasts can be explained by the introduction of lockdown measures, which had a particularly adverse impact on the travel sector....

Using an asset pricing model of a multi-sector production economy with pandemic disasters, we explain the average stock price boom and significant cross-sectional variation of stock returns in the US and Japan during the COVID-19 pandemic recession. Two features of the pandemic, ambiguity and...

Using the pandemic as a laboratory, we show that asset markets assign a time- varying price to firms' disaster risk exposure. In 2020 the cross-section of realized and expected stock returns reflected firms' different exposure to the pandemic, as measured by their vulnerability to social...