A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity

B-Tier
Journal: Review of Asset Pricing Studies
Year: 2022
Volume: 12
Issue: 1
Pages: 53-111

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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)

Technical Details

RePEc Handle
repec:oup:rasset:v:12:y:2022:i:1:p:53-111.
Journal Field
Finance
Author Count
2
Added to Database
2026-01-28