新冠疫情危机期间的企业效率与股票回报
Firm efficiency and stock returns during the COVID-19 crisis.
作者信息
Neukirchen Daniel, Engelhardt Nils, Krause Miguel, Posch Peter N
机构信息
TU Dortmund University, Faculty of Business and Economics, Chair of Finance, Otto-Hahn-Str. 6, Dortmund 44227, Germany.
出版信息
Financ Res Lett. 2022 Jan;44:102037. doi: 10.1016/j.frl.2021.102037. Epub 2021 Mar 31.
Abstract
We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.
摘要
我们研究了新冠疫情期间企业效率与股票回报之间的关系。我们发现，在市场崩溃期间，高效企业的累积回报至少高出9.44个百分点。一个由高效和低效企业组成的多空投资组合平均每周也会产生3.53%的显著正回报。总体而言，我们的结果表明，在危机期间企业效率对股票回报具有显著的解释力。
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