The effect of firm-specific characteristics on the stock market returns during the COVID-19 pandemic: An event study

This thesis investigated the Dutch stock market reaction to the COVID-19 pandemic with the use of an event study method with the event date set on the first trading day the lockdown was enforced (March 16th). The study uses a sample of 75 companies listed in the Netherlands on one of the three indices (AEX, AMX, AScX). Ten firm-specific characteristics were tested on their correlation to cumulative abnormal return with the use of a multiple regression analysis in SPSS, with each variable having a hypothesis. The study only found board size to have a (positive) statistically significant correlation to cumulative abnormal return. Meaning, firms with a larger board experience a less adverse impact on the COVID-19 pandemic than other firms.