{"title":"Equity market responses to surprise Covid-19 lockdowns: The role of pandemic-driven uncertainty","authors":"Aakriti Mathur , Rajeswari Sengupta , Bhanu Pratap","doi":"10.1016/j.asieco.2023.101691","DOIUrl":null,"url":null,"abstract":"<div><p>The onset of the Covid-19 pandemic raised questions about identifying and measuring vulnerabilities in non-financial firms in response to large shocks. Applying natural language processing on quarterly earnings call reports, we construct a firm-specific measure of concern about the pandemic for a set of Indian non-financial firms. Compared to their peers, firms with early concern about the pandemic had worse equity responses after the announcement of a surprise, nationwide lockdown in March 2020. We extract the context of the pandemic-related discussions to disentangle the possible mechanisms. The differential returns can only be explained by higher information uncertainty about the impact of the pandemic and its implications for future cash flows.</p></div>","PeriodicalId":47583,"journal":{"name":"Journal of Asian Economics","volume":"91 ","pages":"Article 101691"},"PeriodicalIF":2.9000,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asian Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1049007823001112","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
The onset of the Covid-19 pandemic raised questions about identifying and measuring vulnerabilities in non-financial firms in response to large shocks. Applying natural language processing on quarterly earnings call reports, we construct a firm-specific measure of concern about the pandemic for a set of Indian non-financial firms. Compared to their peers, firms with early concern about the pandemic had worse equity responses after the announcement of a surprise, nationwide lockdown in March 2020. We extract the context of the pandemic-related discussions to disentangle the possible mechanisms. The differential returns can only be explained by higher information uncertainty about the impact of the pandemic and its implications for future cash flows.
期刊介绍：
The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.
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