The impact of major infectious disease events on shareholder wealth and risk in cultural and creative industries

This study examines the impact of changes in shareholder wealth and risks in cultural and creative industries (C&CIs) from an investor's perspective, testing the effects of the COVID-19 pandemic. Using weekly data on cultural and creative stocks in the Taiwan stock market and empirical studies through performance indicators and factor models, the following conclusions are drawn: 1) The portfolios of the C&CI outperform the stock market, and the digital-focused interactive entertainment industry (IEI) has an advantage over its peers and the market for shareholder wealth growth. There is no evidence that the average excess return rates of market and sector portfolios will be significantly lower during the pandemic. 2) CPAM and Fama and French's (1993) two-factor and three-factor models do not apply to C&CI in Taiwan, and it is recommended that the reverse momentum factor be considered in the models. 3) Due to the impact of the epidemic, the system risks of C&CI, IEI, and the media & advertising industry (M&AI) have significantly decreased. Nevertheless, the system risk and E/P risk of other industries increased significantly, and the positive abnormal return decreased significantly to become negative. These findings confirmed that the epidemic has led to changes in the relationship between returns and risks.