*******************Definition of Variables********************* **comp_code: Code of the French Company **datevar: daily date **month: Month of the year **gsectn: Sector in which the firm operates. **sreturn: Stock Return **Market_Value: The worth of an asset in the market. The variable reflects the change daily in percentage. **Employee_g: Employee’s variable is calculated as a change daily in percentage. **Euribor: The variable is reflecting the weekly change in percentage points. **Stringency_Index: The index ranges from 0-100, reflecting the government’s strictness to take measures (e.g., lockdown) to stop the spread of COVID-19. **Growth_cases: Daily growth in new cases per million in percentage. **Growth_deaths: Daily growth in new deaths per million in percentage. **debtd: Takes 1 if firm debt from top 25% and 0 if firm from least 25% with debts. **fcrisis: takes 1 if firm declared having a crisis management system and 0 if it confirms no crisis management system. **newcs: Number of Cases (Smoothed) per 100,000 **dewcs: Number of Deaths (Smoothed) per 100,000 *********************************Descriptive Statistics*********************************************** tabstat sreturn Market_Value Employee_g Euribor Stringency_Index Growth_cases Growth_deaths, stats(mean sd min max skewness kurtosis ) *********************Figures in Appendix************************** tsline Growth_cases , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") tsline Growth_deaths , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") collapse (mean) sreturn Market_Value Employee_g Euribor Stringency_Index Growth_cases, by(datevar) tsline Euribor , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") tsline Employee_g , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") tsline Market_Value , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") tsline sreturn , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") tsline Stringency_Index , scheme(s2mono) tlabel(31Jan2020 "Jan" 28Feb2020 "Feb" 31Mar2020 "Mar" 30Apr2020 "Apr" 31May2020 "May" 30Jun2020 "Jun" 31Jul2020 "Jul" 31Aug2020 "Aug" 30Sep2020 "Sep" 31Oct2020 "Oct") ************************************************Regressions********************************************** *****General Regressions**** xtset comp_code datevar xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index , fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(1) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases , fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(2) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths , fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(3) dec(4) drop (i.month) ***********Basic Materials***** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Basic Materials" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Basic Materials) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Basic Materials", fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Basic Materials) dec(4) drop (i.month) *****Consumer Goods **** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Consumer Goods" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Consumer Goods) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Consumer Goods" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Consumer Goods) dec(4) drop (i.month) ***Consumer Services**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Consumer Services" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Consumer Services) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Consumer Services" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Consumer Services) dec(4) drop (i.month) ****Health Care**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Health Care" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Health care) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Health Care" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Health care) dec(4) drop (i.month) ****Industrials**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Industrials" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Industrials) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Industrials" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Industrials) dec(3) drop (i.month) *****Telecommuncation*** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Telecommunications" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Telecommuncation) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Telecommunications" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Telecommuncation) dec(3) drop (i.month) *****Energy and Utilities*** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if gsectn=="Energy & Utilities" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Energy and Utilities) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if gsectn=="Energy & Utilities" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Energy and Utilities) dec(3) drop (i.month) ********************DEBT********************* **sum debt19cap, detail **Define Top 25%** **gen debtd=1 if debt19cap>46.71 ***Define Least 25%*** **replace debtd=0 if debt19cap<8.77 xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if debtd==0, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Least 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if debtd==0, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Least 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_cases if debtd==1, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Top 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if debtd==1, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Top 10%) dec(4) drop (i.month) **********************Crisis************ xtreg sreturn i.month Market_Value Euribor Stringency_Index Growth_cases if fcrisis==0, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=0) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Euribor Stringency_Index Growth_cases if fcrisis==1, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=1) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if fcrisis==0, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=0) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index Growth_deaths if fcrisis==1, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=1) dec(4) drop (i.month) ************************************************** *******************************Section 5 Robustness****************************************** *****General Regressions**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index , fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(1) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs , fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(2) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index, fe cluster(comp_code) outreg2 using p0.doc, e(chi2) ctitle(3) dec(4) drop (i.month) ***********Basic Materials***** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Basic Materials" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Basic Materials) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Basic Materials", fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Basic Materials) dec(4) drop (i.month) *****Consumer Goods **** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Consumer Goods" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Consumer Goods) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Consumer Goods" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Consumer Goods) dec(4) drop (i.month) ***Consumer Services**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Consumer Services" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Consumer Services) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Consumer Services" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Consumer Services) dec(4) drop (i.month) ****Health Care**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Health Care" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Health care) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Health Care" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Health care) dec(4) drop (i.month) ****Industrials**** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Industrials" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Industrials) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Industrials" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Industrials) dec(3) drop (i.month) *****Telecommuncation*** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Telecommunications" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Telecommuncation) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Telecommunications" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Telecommuncation) dec(3) drop (i.month) *****Energy and Utilities*** xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if gsectn=="Energy & Utilities" , fe cluster(comp_code) outreg2 using p1.doc, e(chi2) ctitle(Energy and Utilities) dec(3) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if gsectn=="Energy & Utilities" , fe cluster(comp_code) outreg2 using p2.doc, e(chi2) ctitle(Energy and Utilities) dec(3) drop (i.month) *********************DEBT********************* xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if debtd==0, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Least 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if debtd==0, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Least 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor Stringency_Index newcs if debtd==1, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Top 10%) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Employee_g Euribor c.dewcs#c.Stringency_Index if debtd==1, fe cluster(comp_code) outreg2 using p4.doc, e(chi2) ctitle(Top 10%) dec(4) drop (i.month) **********************Crisis************ xtreg sreturn i.month Market_Value Euribor Stringency_Index newcs if fcrisis==0, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=0) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Euribor Stringency_Index newcs if fcrisis==1, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=1) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Euribor c.dewcs#c.Stringency_Index if fcrisis==0, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=0) dec(4) drop (i.month) xtreg sreturn i.month Market_Value Euribor c.dewcs#c.Stringency_Index if fcrisis==1, fe cluster(comp_code) outreg2 using p5.doc, e(chi2) ctitle(Crisis=1) dec(4) drop (i.month) **************************************************