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 (Wednesday, 3rd week, Michaelmas 2022)
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