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Working Remotely and the Supply-Side Impact of COVID-19
[The unprecedented stock market reaction to COVID-19]

Author

Listed:
  • Dimitris Papanikolaou
  • Lawrence D W Schmidt

Abstract

We analyze the supply-side disruptions associated with COVID-19. We find that sectors in which a higher fraction of the workforce is not able to work remotely experienced greater declines in employment and expected revenue growth, worse stock market performance, and higher likelihood of default. The stock market overweights low-exposure industries. Thus, our findings cast light on the disconnect between stock market indices and aggregate outcomes. We combine these ex ante heterogeneous industry exposures with daily financial market data to create a stock return portfolio that tracks news about the supply-side disruptions resulting from the pandemic. (JEL G12, D22, H25, J20, E00)

Suggested Citation

  • Dimitris Papanikolaou & Lawrence D W Schmidt, 2022. "Working Remotely and the Supply-Side Impact of COVID-19 [The unprecedented stock market reaction to COVID-19]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(1), pages 53-111.
    • Handle: RePEc:oup:rasset:v:12:y:2022:i:1:p:53-111.
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    File URL: http://hdl.handle.net/10.1093/rapstu/raab026
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    More about this item

    JEL classification:

    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • J00 - Labor and Demographic Economics - - General - - - General

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