NBER

Marco C. Sammon

Department of Financce
Kellog School
Northwestern University
2001 Sheridan Rd, Evanston, IL 60208

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Northwestern University, Kellogg School of Management

NBER Working Papers and Publications

April 2020The Unprecedented Stock Market Impact of COVID-19
with Scott R. Baker, Nicholas Bloom, Steven J. Davis, Kyle J. Kost, Tasaneeya Viratyosin: w26945
No previous infectious disease outbreak, including the Spanish Flu, has impacted the stock market as forcefully as the COVID-19 pandemic. In fact, previous pandemics left only mild traces on the U.S. stock market. We use text-based methods to develop these points with respect to large daily stock market moves back to 1900 and with respect to overall stock market volatility back to 1985. We also evaluate potential explanations for the unprecedented stock market reaction to the COVID-19 pandemic. The evidence we amass suggests that government restrictions on commercial activity and voluntary social distancing, operating with powerful effects in a service-oriented economy, are the main reasons the U.S. stock market reacted so much more forcefully to COVID-19 than to previous pandemics in 1918...
November 2017Environmental, Social, and Governance Criteria: Why Investors are Paying Attention
with Ravi Jagannathan, Ashwin Ravikumar: w24063
We find that money managers could reduce portfolio risk by incorporating Environmental, Social, and Governance (ESG) criteria into their investment process. ESG-related issues can cause sudden regulatory changes and shifts in consumer tastes, resulting in large asset price swings which leave investors limited time to react. By incorporating ESG criteria in their investment strategy, money managers can tilt their holdings towards firms which are well prepared to deal with these changes, thereby managing exposure to these rare but potentially large risks.

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