1 Introduction
2 Literature review and research questions
2.1 Investor sentiment and capital markets
2.2 Investor sentiment during epidemics/pandemics
2.3 Government responses to the COVID-19 pandemic and investor sentiment
3 Data and research design
3.1 COVID-19 data
3.2 Capital market data
3.3 Government response data
Containment and closure policiesSchool closings; workplace closings; cancelations of public events; restrictions on gatherings; closing of public transport; stay-at-home requirements; restrictions on international movement; international travel controlsHealth system policiesPublic information campaigns; testing policy; contact tracing; facial covering policy; vaccination policy; protection of elderly peopleEconomic policiesIncome support; debt and contract relief
3.4 Empirical model
4 Empirical results
4.1 Summary statistics
Variable | Mean | Std | Min | 25% | Median | 75% | Max | N |
---|---|---|---|---|---|---|---|---|
Firm characteristics | ||||||||
AR | 0.001 | 2.107 | − 6.606 | − 1.056 | − 0.021 | 1.019 | 7.190 | 155,855 |
VOLATILITY | 31.336 | 10.380 | 15.948 | 24.014 | 29.405 | 35.321 | 66.822 | 155,855 |
FOLLOWING | 21.604 | 8.008 | 5.000 | 16.000 | 21.000 | 26.000 | 46.000 | 155,855 |
INSTITUTIONAL | 82.829 | 12.392 | 49.054 | 75.374 | 84.711 | 92.795 | 99.690 | 155,855 |
SIZE | 232.730 | 370.861 | 12.651 | 47.178 | 110.660 | 236.010 | 2,455.100 | 155,855 |
PTB | 5.730 | 32.942 | − 194.226 | 1.671 | 3.858 | 7.752 | 176.193 | 155,855 |
BOARD | 10.974 | 2.027 | 6.000 | 10.000 | 11.000 | 12.000 | 17.000 | 155,855 |
LEVERAGE | − 0.973 | 6.118 | − 23.400 | − 3.000 | 0.000 | 2.230 | 14.370 | 155,855 |
ROA | − 1.656 | 4.203 | − 19.450 | − 2.630 | − 0.850 | 0.300 | 7.420 | 155,855 |
ESG | 63.582 | 14.877 | 22.824 | 53.065 | 66.259 | 74.310 | 89.299 | 155,855 |
REVENUE | 1.126 | 6.035 | 0.010 | 0.027 | 0.083 | 0.301 | 53.175 | 155,855 |
Country characteristics | ||||||||
CASES | 5.926 | 31.701 | − 75.000 | 0.336 | 1.073 | 3.185 | 2200.265 | 54,900 |
DEATHS | 0.129 | 1.458 | − 3.704 | 0.000 | 0.112 | 0.045 | 113.953 | 54,900 |
CONTAINMENT_CLOSURE | 49.616 | 27.904 | 0.000 | 31.250 | 54.688 | 71.875 | 100.000 | 54,900 |
HEALTH_SYSTEM | 54.449 | 23.873 | 0.000 | 44.643 | 59.524 | 71.429 | 100.000 | 54,900 |
ECON_SUPPORT | 43.965 | 33.230 | 0.000 | 0.000 | 50.000 | 75.000 | 100.000 | 54,900 |
GOV_RESPONSE | 54.940 | 25.567 | 0.000 | 44.058 | 62.609 | 73.333 | 100.000 | 54,900 |
MEDIA_COVERAGE | 55.511 | 21.086 | 0.060 | 43.270 | 59.500 | 71.250 | 100.000 | 54,900 |
MEDIA_HYPE | 46.188 | 20.551 | 0.000 | 33.550 | 46.910 | 60.310 | 100.000 | 54,900 |
MEDIA_SENTIMENT | − 5.930 | 12.767 | − 97.210 | − 10.060 | − 2.460 | 0.440 | 50.950 | 54,900 |
EXPOSURE | 16.098 | 21.669 | 0.000 | 0.000 | 5.003 | 26.849 | 100.000 | 54,900 |
Observations in the firm-country-day-Matrix: 10,060,911 |
VARIABLE | TOTAL_ RETURN | AR | VOLA-TILITY | FOLLOW ING | INSTI-TUTIO-NAL | SIZE | PTB | BOARD | LEVE-RAGE | ROA | ESG | REVE-NUE | CASES | DEATHS | CONAIN-MENT_ | HEALTH_ SYS-TEM | ECON_ SUP-PORT | GOV_ RES-PONSE | MEDIA_ COVER-AGE | MEDIA_ HYPE | MEDIA_ SENTI-MENT |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLOSURE | |||||||||||||||||||||
AR | 0.594* | 0.164* | 0.018* | 0.002* | − 0.056* | − 0.037* | − 0.031* | − 0.051* | − 0.009* | − 0.038* | − 0.006* | − 0.029* | − 0.022* | 0.055* | − 0.041* | − 0.018* | 0.019* | 0.099* | 0.091* | − 0.037* | |
VOLATILITY | 0.222* | 0.244* | 0.114* | 0.044* | − 0.175* | − 0.223* | − 0.080* | − 0.255* | − 0.204* | − 0.162* | − 0.027* | 0.022* | 0.021* | 0.016* | 0.018* | 0.018* | 0.020* | 0.012* | 0.008* | − 0.008* | |
FOLLOWING | 0.018* | 0.033* | 0.146* | − 0.341* | 0.431* | 0.100* | 0.087* | − 0.112* | − 0.070* | 0.123* | − 0.004* | − 0.009* | − 0.009* | 0.001* | − 0.004* | − 0.005* | − 0.002* | 0.000 | 0.004* | 0.002* | |
INSTITUTIONAL | − 0.031* | − 0.034* | − 0.099* | − 0.284* | − 0.521* | 0.007* | − 0.251* | 0.107* | 0.059* | − 0.339* | 0.006* | 0.006* | 0.006* | − 0.003* | 0.001* | 0.006* | 0.000 | 0.002* | 0.000 | − 0.006* | |
SIZE | − 0.022* | − 0.030* | − 0.089* | 0.366* | − 0.460* | − 0.098* | 0.485* | 0.009* | 0.051* | 0.471* | − 0.023* | − 0.003* | − 0.002* | 0.000* | 0.000 | − 0.004* | − 0.001* | − 0.004* | − 0.003* | 0.003* | |
PTB | − 0.013* | − 0.019* | − 0.039* | 0.042* | − 0.013* | 0.009* | − 0.109* | 0.111* | 0.173* | − 0.049* | 0.014* | 0.023* | 0.016* | − 0.034* | 0.022* | − 0.006* | − 0.017* | − 0.055* | − 0.048* | 0.016* | |
BOARD | − 0.011* | − 0.029* | − 0.067* | 0.066* | − 0.199* | 0.172* | − 0.014* | − 0.048* | − 0.051* | 0.297* | − 0.005* | 0.001* | 0.000 | − 0.001* | 0.003* | 0.001 | 0.000* | − 0.004* | − 0.004* | 0.002* | |
LEVERAGE | − 0.096* | − 0.105* | − 0.382* | − 0.084* | 0.201* | 0.015* | 0.039* | − 0.086* | 0.287* | − 0.052* | − 0.015* | 0.003* | 0.005* | 0.000 | − 0.001* | 0.002* | 0.001* | 0.002* | 0.000 | − 0.007* | |
ROA | − 0.105* | − 0.094* | − 0.387* | − 0.066* | 0.197* | 0.099* | 0.062* | − 0.066* | 0.473* | 0.041* | − 0.007* | − 0.009* | − 0.007* | − 0.007* | − 0.012* | − 0.009* | − 0.009* | 0.000 | − 0.001* | − 0.003* | |
ESG | − 0.024* | − 0.035* | − 0.124* | 0.093* | − 0.295* | 0.317* | 0.007* | 0.261* | − 0.026* | 0.072* | 0.011* | − 0.018* | − 0.019* | − 0.004* | − 0.011* | − 0.017* | − 0.011* | − 0.009* | − 0.003* | 0.014* | |
REVENUE | 0.002* | 0.002* | 0.002* | − 0.016* | 0.005* | 0.001* | − 0.004* | 0.001* | 0.002* | 0.000 | − 0.023* | 0.175* | 0.228* | 0.076* | 0.205* | 0.194* | 0.177* | 0.175* | 0.028* | − 0.278* | |
CASES | 0.043* | -0.042* | 0.023* | − 0.011* | 0.004* | − 0.003* | 0.038* | 0.000 | − 0.002* | − 0.017* | − 0.018* | 0.105* | 0.832* | 0.409* | 0.555* | 0.427* | 0.533* | 0.173* | 0.140* | − 0.110* | |
DEATHS | 0.035* | − 0.027* | 0.019* | − 0.010* | 0.005* | − 0.001 | 0.031* | 0.000 | − 0.002* | − 0.013* | − 0.018* | 0.148* | 0.779* | 0.427* | 0.435* | 0.348* | 0.506* | 0.184* | 0.137* | − 0.123* | |
CONTAINMENT_ CLOSURE | 0.122* | 0.064* | 0.020* | 0.001* | − 0.005* | 0.002* | 0.000 | − 0.001* | − 0.003* | − 0.012* | − 0.005* | 0.037* | 0.426* | 0.349* | 0.380* | 0.321* | 0.888* | 0.446* | 0.431* | − 0.122* | |
HEALTH_SYSTEM | 0.064* | − 0.032* | 0.022* | − 0.005* | − 0.001* | − 0.001 | 0.035* | 0.001* | − 0.004* | − 0.018* | − 0.010* | 0.059* | 0.562* | 0.370* | 0.568* | 0.525* | 0.679* | 0.194* | 0.157* | − 0.104* | |
ECON_SUPPORT | 0.057* | − 0.029* | 0.019* | − 0.006* | 0.005* | − 0.003* | 0.009* | − 0.001* | − 0.002* | − 0.016* | − 0.017* | 0.037* | 0.429* | 0.308* | 0.410* | 0.602* | 0.594* | 0.224* | 0.212* | − 0.117* | |
GOV_RESPONSE | 0.111* | 0.023* | 0.024* | − 0.002* | − 0.003* | 0.001 | 0.014* | − 0.001* | − 0.004* | − 0.017* | − 0.010* | 0.051* | 0.552* | 0.411* | 0.911* | 0.832* | 0.667* | 0.388* | 0.354* | − 0.157* | |
MEDIA_COVERAGE | 0.104* | 0.121* | 0.014* | 0.001* | 0.000 | 0.003* | − 0.017* | − 0.004* | 0.001 | − 0.007* | − 0.009* | 0.106* | 0.192* | 0.145* | 0.518* | 0.386* | 0.297* | 0.521* | 0.885* | − 0.206* | |
MEDIA_HYPE | 0.101* | 0.119* | 0.009* | 0.005* | − 0.001* | 0.000 | − 0.019* | − 0.005* | − 0.001* | − 0.004* | − 0.002* | − 0.056* | 0.148* | 0.102* | 0.493* | 0.325* | 0.255* | 0.476* | 0.902* | − 0.174* | |
MEDIA_SENTIMENT | − 0.021* | − 0.058* | − 0.008* | 0.002* | − 0.005* | − 0.004* | 0.009* | 0.002* | − 0.003* | 0.003* | 0.012* | − 0.031* | − 0.078* | − 0.124* | − 0.130* | − 0.106* | − 0.083* | − 0.136* | − 0.213* | − 0.168* |
4.2 Government responses and stock returns
Dependent variable | (I) | (II) | (III) | (IV) |
---|---|---|---|---|
Abnormal return [ARt+1] | ||||
CASES | − 0.038*** (− 125.203) | − 0.043*** (− 40.616) | ||
DEATHS | − 0.063*** (− 81.551) | − 0.184*** (− 13.942) | ||
GOV_RESPONSE | − 0.000*** | − 0.025*** | ||
(− 2.912) | (− 33.890) | |||
CASES × GOV_RESPONSE | 0.000*** | |||
(5.493) | ||||
DEATHS × GOV_RESPONSE | 0.031*** (9.905) | |||
VOLATILITY | 0.017*** (5.910) | 0.018*** (6.088) | 0.017*** (5.919) | 0.018*** (6.033) |
AR | 0.037*** (72.478) | 0.039*** (77.118) | 0.037*** (72.460) | 0.039*** (76.430) |
FOLLOWING | 0.010*** (3.763) | 0.010*** (3.677) | 0.010*** (3.762) | 0.010*** (3.682) |
INSTITUTIONAL | 0.004 (1.637) | 0.003 (1.471) | 0.004 (1.632) | 0.003 (1.507) |
SIZE | 0.000 (0.440) | 0.000 (0.339) | 0.000 (0.436) | 0.000 (0.367) |
PTB | − 0.001*** (− 30.429) | − 0.001*** (− 34.522) | − 0.001*** (− 30.566) | − 0.001*** (− 33.306) |
BOARD | 0.058*** (4.825) | 0.056*** (4.674) | 0.058*** (4.819) | 0.056*** (4.712) |
LEVERAGE | 0.007*** (4.489) | 0.006*** (4.442) | 0.007*** (4.484) | 0.007*** (4.461) |
ROA | − 0.010 (− 1.082) | -0.008 (− 0.851) | − 0.010 (− 1.072) | − 0.009 (− 0.919) |
ESG | − 0.006*** (− 5.258) | − 0.006*** (− 5.083) | − 0.006*** (− 5.251) | − 0.006*** (− 5.131) |
REVENUE | − 0.000 (− 0.080) | − 0.000 (− 0.033) | − 0.000 (− 0.082) | − 0.000 (− 0.031) |
MEDIA_COVERAGE | 0.003*** (38.495) | 0.003*** (33.332) | 0.003*** (35.795) | 0.003*** (40.035) |
MEDIA_HYPE | 0.001*** (14.073) | 0.001*** (12.261) | 0.001*** (14.047) | 0.001*** (12.826) |
MEDIA_SENTIMENT | − 0.003*** (− 54.836) | − 0.003*** (− 59.805) | − 0.003*** (− 55.117) | − 0.003*** (− 57.303) |
Constant | − 1.066*** (− 3.316) | − 1.126*** (− 3.500) | − 1.078*** (− 3.355) | − 1.067*** (− 3.316) |
Firm FE | Yes | Yes | Yes | Yes |
Day FE | Yes | Yes | Yes | Yes |
Observations | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 |
Adj. R2 | 0.0410 | 0.0388 | 0.0410 | 0.0391 |
F-test (CASES/DEATHS = GOV_RESPONSE) | < 0.01 | < 0.01 |
4.3 Government responses split by scope and stock returns
Dependent variable | (I) | (II) | (III) | (IV) | (V) | (VI) |
---|---|---|---|---|---|---|
Abnormal return [ARt+1] | ||||||
CASES | − 0.073*** (− 37.388) | − 0.077*** (28.866) | − 0.033*** (− 42.144) | |||
DEATHS | − 0.277*** (− 33.576) | − 0.172*** (19.031) | − 0.114*** (− 45.422) | |||
CONTAINMENT_CLOSURE | 0.015* (21.586)c | − 0.012*** (− 18.660) | ||||
HEALTH_SYSTEM | − 0.008*** (− 10.834) | − 0.035*** (− 49.668) | ||||
ECON_SUPPORT | − 0.026*** (− 50.218) | − 0.039*** (− 93.019) | ||||
CASES × CONTAINMENT_CLOSURE | 0.007*** (15.514) | |||||
DEATHS × CONTAINMENT_CLOSURE | 0.053*** (26.712) | |||||
CASES × HEALTH_SYSTEM | − 0.034*** (− 43.061) | |||||
DEATHS × HEALTH_SYSTEM | − 0.059*** (− 24.756) | |||||
CASES × ECON_SUPPORT | 0.001*** (5.315) | |||||
DEATHS × ECON_SUPPORT | 0.019*** (29.899) | |||||
VOLATILITY | 0.017*** (5.866) | 0.018*** (6.026) | 0.017*** (5.933) | 0.018*** (6.027) | 0.017*** (5.915) | 0.018*** (6.005) |
AR | 0.037*** (72.001) | 0.039*** (76.540) | 0.036*** (71.132) | 0.038*** (75.180) | 0.036*** (70.534) | 0.037*** (72.156) |
FOLLOWING | 0.010*** (3.829) | 0.010*** (3.710) | 0.010*** (3.726) | 0.010*** (3.669) | 0.010*** (3.724) | 0.009*** (3.665) |
INSTITUTIONAL | 0.004* (1.693) | 0.003 (1.524) | 0.003 (1.609) | 0.003 (1.511) | 0.004 (1.615) | 0.003 (1.520) |
SIZE | 0.000 (0.468) | 0.000 (0.374) | 0.000 (0.333) | 0.000 (0.311) | 0.000 (0.409) | 0.000 (0.357) |
PTB | − 0.001*** (− 30.306) | − 0.001*** (− 33.608) | − 0.001*** (− 29.888) | − 0.001*** (− 32.371) | − 0.001*** (− 30.399) | − 0.001*** (− 32.756) |
BOARD | 0.058*** (4.883) | 0.057*** (4.733) | 0.057*** (4.816) | 0.057*** (4.731) | 0.057*** (4.779) | 0.056*** (4.676) |
LEVERAGE | 0.007*** (4.505) | 0.007*** (4.459) | 0.007*** (4.561) | 0.007*** (4.527) | 0.007*** (4.462) | 0.006*** (4.411) |
ROA | − 0.011 (− 1.135) | − 0.009 (− 0.929) | − 0.010 (− 1.071) | − 0.009 (− 0.940) | − 0.010 (− 1.073) | − 0.009 (− 0.947) |
ESG | − 0.006*** (− 5.307) | − 0.006*** (− 5.149) | − 0.006*** (− 5.254) | − 0.006*** (− 5.153) | − 0.006*** (− 5.242) | − 0.006*** (− 5.144) |
REVENUE | − 0.000 (− 0.074) | − 0.000 (− 0.030) | − 0.000 (− 0.066) | − 0.000 (− 0.019) | − 0.000 (− 0.102) | − 0.000 (− 0.068) |
MEDIA_COVERAGE | 0.003*** (32.938) | 0.003*** (36.599) | 0.003*** (38.949) | 0.003*** (42.572) | 0.003*** (44.552) | 0.003*** (43.849) |
MEDIA_HYPE | 0.001*** (12.513) | 0.001*** (12.647) | 0.001*** (12.930) | 0.001*** (10.919) | 0.001*** (15.852) | 0.001*** (16.549) |
MEDIA_SENTIMENT | − 0.003*** (− 54.363) | − 0.003*** (− 56.592) | − 0.003*** (− 51.490) | − 0.003*** (− 55.408) | − 0.002*** (− 47.135) | − 0.002*** (− 45.855) |
Constant | − 1.086*** (− 3.381) | − 1.105*** (− 3.434) | − 1.049*** (− 3.265) | − 1.037*** (− 3.226) | − 1.044*** (− 3.249) | − 1.067*** (− 3.321) |
Firm FE | Yes | Yes | Yes | Yes | Yes | Yes |
Day FE | Yes | Yes | Yes | Yes | Yes | Yes |
Observations | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 |
Adj. R2 | 0.0412 | 0.0390 | 0.0415 | 0.0396 | 0.0418 | 0.0409 |
F test CASES/DEATHS = CONTAINMENT_CLOSURE | < 0.01 | < 0.01 | ||||
HEALTH_SYSTEM | < 0.01 | < 0.01 | ||||
ECON_SUPPORT | < 0.01 | < 0.01 |
4.4 Government responses and firm-specific COVID-19 revenue exposure
Dependent variable | (I) | (II) | (III) | (IV) |
---|---|---|---|---|
Abnormal return [ARt+1] | ||||
A [CASES] | ||||
CASES | − 0.041*** (− 28.423) | − 0.058*** (− 22.357) | − 0.041*** (9.393) | − 0.031*** (− 34.138) |
EXPOSURE | 0.041*** (7.636) | − 0.034*** (− 3.403) | 0.808*** (45.111) | 0.047*** (13.170) |
CASES × EXPOSURE | − 0.004*** (− 3.469) | 0.011*** (5.667) | − 0.138*** (− 38.297) | − 0.010*** (− 12.538) |
GOV_RESPONSE | − 0.001*** (− 16.633) | |||
CONTAINMENT_CLOSURE | 0.001* (1.670) | |||
HEALTH_SYSTEM | − 0.013*** (− 17.015) | |||
ECON_SUPPORT | − 0.026*** (− 52.973) | |||
CASES × GOV_RESPONSE | 0.000*** (14.821) | |||
CASES × CONTAINMENT_CLOSURE | 0.009*** (13.367) | |||
CASES × HEALTH_SYSTEM | − 0.015*** (− 14.150) | |||
CASES × ECON_SUPPORT | 0.005*** (19.937) | |||
GOV_RESPONSE × EXPOSURE | − 0.001*** (− 9.987) | |||
CONTAINMENT_CLOSURE × EXPOSURE | 0.005* (1.875) | |||
HEALTH_SYSTEM × EXPOSURE | − 0.196*** (− 46.008) | |||
ECON_SUPPORT × EXPOSURE | − 0.012*** (− 13.689) | |||
CASES × GOV_RESPONSE × EXPOSURE | 0.000*** (4.515) | |||
CASES × CONTAINMENT_CLOSURE × EXPOSURE | − 0.002*** (− 4.912) | |||
CASES × HEALTH_SYSTEM × EXPOSURE | 0.033*** (39.226) | |||
CASES × ECON_SUPPORT × EXPOSURE | 0.002*** (10.871) | |||
CONTROLS | Yes | Yes | Yes | Yes |
Constant | − 0.247*** (− 33.948) | − 0.257*** (− 35.102) | − 0.230*** (− 30.807) | − 0.238*** (− 32.872) |
Firm FE | Yes | Yes | Yes | Yes |
Day FE | Yes | Yes | Yes | Yes |
Observations | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 |
Adj. R2 | 0.0256 | 0.0255 | 0.0266 | 0.0264 |
F test | ||||
CASES = EXPOSURE | < 0.05 | < 0.01 | < 0.01 | < 0.05 |
CASES = GOV_RESPONSE/CONTAINMENT_CLOSURE/HEALTH_SYSTEM/ECON_SUPPORT | < 0.01 | < 0.01 | < 0.01 | < 0.01 |
EXPOSURE = GOV_RESPONSE/CONTAINMENT_CLOSURE/HEALTH_SYSTEM/ECON_SUPPORT | < 0.01 | < 0.05 | < 0.01 | < 0.01 |
B [DEATHS] | ||||
DEATHS | − 0.132*** (− 22.084) | − 0.233*** (− 17.480) | − 0.013*** (− 0.790) | − 0.108*** (− 30.839) |
EXPOSURE | − 0.024*** (− 8.861) | − 0.060*** (− 11.902) | 0.310*** (33.241) | 0.001 (0.588) |
DEATHS × EXPOSURE | 0.028*** (12.764) | 0.052*** (9.832) | − 0.063*** (− 8.934) | 0.002 (1.269) |
GOV_RESPONSE | − 0.001*** (− 32.539) | |||
CONTAINMENT_CLOSURE | − 0.008*** (− 12.873) | |||
HEALTH_SYSTEM | − 0.025*** (− 34.979) | |||
ECON_SUPPORT | − 0.027*** (− 66.425) | |||
DEATHS × GOV_RESPONSE | 0.001*** (17.291) | |||
DEATHS × CONTAINMENT_CLOSURE | 0.047*** (14.631) | |||
DEATHS × HEALTH_SYSTEM | − 0.006 (− 1.496) | |||
DEATHS × ECON_SUPPORT | 0.023*** (25.318) | |||
GOV_RESPONSE × EXPOSURE | − 0.000 (− 0.262) | |||
CONTAINMENT_CLOSURE × EXPOSURE | 0.008*** (6.173) | |||
HEALTH_SYSTEM × EXPOSURE | − 0.079*** (− 36.098) | |||
ECON_SUPPORT × EXPOSURE | − 0.005*** (− 8.881) | |||
DEATHS × GOV_RESPONSE × EXPOSURE | 0.000*** (− 9.930) | |||
DEATHS × CONTAINMENT_CLOSURE × EXPOSURE | − 0.011*** (− 8.380) | |||
DEATHS × HEALTH_SYSTEM × EXPOSURE | 0.017*** (10.324) | |||
DEATHS × ECON_SUPPORT × EXPOSURE | 0.000 (0.439) | |||
CONTROLS | Yes | Yes | Yes | Yes |
Constant | − 0.252*** (− 34.690) | − 0.259*** (− 35.463) | − 0.213*** (− 28.628) | − 0.247*** (− 34.084) |
Firm FE | Yes | Yes | Yes | Yes |
Day FE | Yes | Yes | Yes | Yes |
Observations | 3,829,441 | 3,829,441 | 3,829,441 | 3,829,441 |
Adj. R2 | 0.0251 | 0.0249 | 0.0258 | 0.0262 |
F test | ||||
DEATHS = EXPOSURE | < 0.05 | < 0.05 | < 0.01 | < 0.01 |
DEATHS = GOV_RESPONSE/CONTAINMENT_CLOSURE/HEALTH_SYSTEM/ECON_SUPPORT | < 0.01 | < 0.01 | < 0.01 | < 0.01 |
EXPOSURE = GOV_RESPONSE/CONTAINMENT_CLOSURE/HEALTH_SYSTEM/ECON_SUPPORT | < 0.01 | < 0.01 | < 0.01 | < 0.01 |