Stock Liquidity and Firm Value in the Time of COVID-19 Pandemic

ESG performance and stock prices: evidence from the COVID-19 outbreak in China

“…This result is consistent with the CSRC requirement for board independence (Wang et al, 2021 ). The distribution of the control variables in this paper is similar to that reported in previous research (Zhang et al, 2021 ; Broadstock et al, 2021 ; Díaz et al, 2021 ).…”

“…Given that ESG data are disclosed quarterly, we calculate the average of ESG over four quarters to measure the annual ESG performance. We also follow the previous literature (Zhang et al, 2021 ; Broadstock et al, 2021 ; Díaz et al, 2021 ; Demers et al, 2021 ) and include the following set of control variables in the estimation: leverage ratio (Lev), firm profitability (Roa), firm size (Size), nature of equity (Soe), degree of risk (Beta), shareholder structure (Top1), number of board members (Board), the duality of CEO and chairman (Dual), the proportion of independent directors (Independ), intangible asset (Intangible), and tangible asset (Tangible). The detailed definitions of the variables are presented in Table 1 .…”

“…Cumulative abnormal return (CAR) is widely used as a measure of stock price. We follow the previous literature (Demers et al, 2021 ; Zhang et al, 2021 ; Broadstock et al, 2021 ) and use CAR estimated through an event study approach as the dependent variable. CAR is an impartial estimate of additional or reduced firm value that accrues as a result of the occurrence (McWilliams and Siegel, 1997 ; Campbell et al, 1998 ; Fernando et al, 2012 ).…”

“…The details are as follows. (1) Event date : As COVID-19 received national attention on 20 January 2020, we draw on existing literature (Zhang et al, 2021 ) and use this date as an event date in the event study. On 20 January 2020, China’s central government provided important instructions on the prevention and containment of COVID-19.…”

“…On the same day, panic ensued after the announcement by pulmonary experts that COVID-19 was more transmissible than previous diseases and could be passed from one person to another person. As of 20 January 2020, the Chinese National Health Council officially issued the number of new cases in each province and incorporated COVID-19 into the Infectious Diseases Act and Sanitary and Isolation Act (Zhang et al, 2021 ). (2) Event window : This paper follows previous studies (Kanas, 2005 ; Miyajima and Yafeh, 2007 ; Fernando et al, 2012 ) and selects the event window consisting of 11 days from t −5 to t +5 days.…”