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Explaining firm-level reactions to macro shocks
Understanding differences in firm responses to macroeconomic shocks is key for designing policy actions. This column identifies 67 macro shocks using ‘jump’ days in the US stock market over 2020-2022. It measures firm exposures using individual stock returns and, crucially, discussions of business risk factors in corporate filings. These exposures are largely uncorrelated for different shocks (such as pandemic and inflation shocks) and, collectively, account for most of the rise in cross-firm dispersion in the 2020 recession. The findings challenge the conventional explanations for countercyclical dispersion in firm performance during recessions.
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