Beschreibung:
We investigate COVID’s impact on reward and risk properties of SIN stocks using matched SIN and NONSIN firms between January 2000 and December 2021. We find no evidence that COVID affected SIN and NONSIN stock excess returns differently. Risk (beta, idiosyncratic and total) was sensitive to the pandemic proxy and to sample matching. For two of the COVID proxies, the SIN firm beta and idiosyncratic volatility increased during and was more responsive to the pandemic. Our robust analysis demonstrates the importance of careful construction of SIN and matched NONSIN samples and the usefulness of different pandemic proxies