The effect of company specific factors including financial ratios, industry, and country on share price reactions during the COVID-19 market crash on firms listed on the STOXX Europe 600.

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This thesis investigates the economic downturn caused by the COVID-19 pandemic and the eventual recovery caused by measures taken by governmental bodies on companies listed on the STOXX Europe 600. Next to that, factors driving both cumulative abnormal returns and cumulative returns are researched through cross-sectional regression analyses. The results of the event study indicate a large significant market decline of 38.25% more than expected during the first wave of COVID-19 around early-mid March. The results of the regression analysis indicate that leverage, size, book-to-market value of equity, liquidity, beta, industry of operation, and country of operation all explain cross-sectional variation of returns during the pandemic in varying degrees. More specifically, beta negatively affected returns, book-to-market value of equity negatively affected returns, leverage negatively affected returns, size negatively affected returns, and liquidity positively affected returns. Besides these variables, the results indicate that the energy, consumer discretionary, industrials, real estate, financials, communication services, and utilities sectors performed worse than expected during the crisis whilst the materials, information technology, consumer staples, and health care sectors performed better than expected during the crisis. The robustness checks performed show consistency in the results, and the results are largely comparable to US based studies.
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