Firms with greater financial flexibility should be better able to fund a revenue shortfall resulting from the COVID-19 shock and benefit less from policy responses. We find that firms with high financial flexibility within an industry experience a stock price drop lower by 26% or 9.7 percentage...

Fixed-income markets were disrupted at the beginning of the COVID-19 crisis. As whole industries temporarily shut down, businesses and households ran down their savings or needed credit to survive income losses. As volatility increased, portfolio managers sold securities to manage their...

We study how social connectedness affected mutual fund manager trading behavior in the first half of 2020. In the first quarter during which the COVID outbreak occurred, fund managers located in or socially connected to COVID hotspots sold more stock holdings compared to a control group of...

The economic lockdowns that began in March 2020 in response to the COVID-19 pandemic led to an unparalleled level of financial market disruption. Investors sought liquidity by selling financial assets and drawing down loans and credit lines. The speed, scale and one-way nature of these...

This paper shows how the US, UK, Germany and China are financially connected through their stock market liquidity in the COVID-19 pandemic. Using high frequency data on transaction costs, we identify a decrease in stock market liquidity and an increase in liquidity commonality amongst these...

The closing call auction is an important feature of modern markets that improves the efficiency of closing prices as a benchmark. We examine the effects of COVID-19 on closing price dislocation – with a specific focus on the role of high-frequency and retail traders on closing price...

This paper identifies robust determinants of US stock price movements in the economic shadow of the COVID-19 crisis and in the presence of model uncertainty, using several influential factors highlighted in relevant research. Our investigation performs an extreme bounds analysis (EBA), a global...

In the literature on sustainable investing, most studies assume normal market conditions. However, research is limited regarding the specific role of sustainable investing during stressed market conditions. In this paper, we contribute to the literature by investigating the role of ESG investing...

This paper studies the tail risk of US equity markets in advance of the COVID-19 outbreak in February 2020, providing evidence that financial markets are informative about pandemic risk well in advance of the actual outbreak. Specifically, while the tail risk of the market index did not respond...