We use state-level data to evaluate the connection between outbreaks of COVID-19 and stock returns over the period January-June 2020. We show that daily increases in the number of infected cases, hospitalized cases, and deaths are negatively associated with next day stock returns of firms headquartered in the same state. The relationship is weaker among states with high levels of medical resources and states that are likely to get support from the federal government. In addition, we find that the negative effect is reduced for firms that report an expectation that an outbreak will increase revenues and for firms with a strong corporate social responsibility practice. We believe our study is the first paper to assess cross-sectional stock price reactions to COVID-19 as a function of the state-level impact of the pandemic outbreak.

我们使用州级数据来评估 2020 年 1 月至 6 月期间 COVID-19 爆发与股票收益之间的联系。我们表明，感染病例、住院病例和死亡人数的每日增加与第二天呈负相关总部位于同一州的公司的股票收益。在医疗资源水平较高的州和可能获得联邦政府支持的州之间，这种关系较弱。此外，我们发现，对于报告预计爆发将增加收入的公司以及具有强大企业社会责任实践的公司，负面影响会减少。我们相信，我们的研究是第一篇评估横截面股票价格对 COVID-19 的反应随大流行爆发的州级影响而变化的论文。