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.

More publications

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 us