Firm efficiency and stock returns during the COVID-19 crisis
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.
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What is FiRRM?
The Centre of Finance, Risk and Resource Management (FiRRM) is a team of researchers at the Technical University of Dortmund. We specialize in modern financial applications and risk management. Our focus? Data-driven research within the fields of economics and finance. Our goal? To build a community of talented analysts.
more about usWhat's new at FiRRM?
Joint Finance Seminar
In these challenging times due to COVID-19, we've organized this online research seminar series for the...
CoronaFuturum – Covid-19
At the beginning of the Covid-19 Pandemic Crisis, we at FiRMM have been asking "What can we expect...
Collaborative lecture: Applied Financial Econometrics
Teaching Project
Applied Financial Econometrics is one of our upcoming...