Our recent paper "Firm efficiency and stock returns during the COVID-19 crisis" has been published in Finance Research Letters
We investigate the relationship between firm efficiency and stock returns during the COVID-19 pandemic. We find that highly efficient firms experienced at least 9.44 percentage points higher cumulative returns during the market collapse. A long-short portfolio consisting of efficient and inefficient firms would have also yielded a significantly positive weekly return of 3.53% on average. Overall, our results show that firm efficiency has significant explanatory power for stock returns during the crisis period.
Neukirchen, D., Engelhardt, N., Krause, M., & Posch, P. N. (2021). Firm efficiency and stock returns during the COVID-19 crisis. Finance Research Letters, 102037.