Neukirchen Daniel, Engelhardt Nils, Krause Miguel, Posch Peter N
TU Dortmund University, Faculty of Business and Economics, Chair of Finance, Otto-Hahn-Str. 6, Dortmund 44227, Germany.
Financ Res Lett. 2022 Jan;44:102037. doi: 10.1016/j.frl.2021.102037. Epub 2021 Mar 31.
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.
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。