Investor Sentiment Response to Covid-19 Pandemic-Related News

This study examines the investor sentiment response to selected COVID-19-related events and distinguishes its market- and company-based drivers. We estimated the individual investor sentiment indicators for a sample of the NYSE-listed companies in 2019–2020 from the sectors most severely affected by the pandemic: healthcare, industrials, consumer goods and consumer services. Taking advantage of the event study methodology and using the Daily News Sentiment Index as a benchmark, we found that the abnormal investor sentiment responses to COVID-19 pandemic-related news were highly negative and significantly driven by the company’s stock returns, market capitalization, liquidity ratio, leverage ratio and the sector.