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Firm-level shock exposures, stock returns, and real outcomes: a text-analytic approach
We introduce a firm-level exposure to macroeconomic shocks derived from 10K Risk Factors’ ability to predict shock-related market surprises and illustrate its application to COVID-19. It has significant explanatory power for returns in- and out-of-sample; contains all relevant information for future real outcomes present in surprises; and can be decomposed into interpretable word groupings that collectively account for real outcomes. These highlight numerous specific channels through which COVID-19 generated negative and positive real effects, and how these are distributed across firms. By reflecting information on trading partners, technology adoption, and business models, text explains how COVID-19 created long-lasting firm heterogeneity.
Date:
26 October 2022, 14:30
Venue:
Manor Road Building, Manor Road OX1 3UQ
Venue Details:
Seminar Room G or register to join online via Zoom
Speaker:
Stephen Hansen (Imperial College Business School)
Organising department:
Institute for New Economic Thinking
Organiser:
Dorothy Nicholas (INET Oxford)
Organiser contact email address:
complexity@inet.ox.ac.uk
Part of:
INET Complexity Economics Seminars
Booking required?:
Required
Booking url:
https://www.inet.ox.ac.uk/events/firm-level-shock-exposures-stock-returns-and-real-outcomes/
Audience:
Public
Editors:
Susan Mousley,
Dorothy Nicholas
