Marco C. Sammon
Department of Financce
2001 Sheridan Rd, Evanston, IL 60208
Institutional Affiliation: Northwestern University, Kellogg School of Management
NBER Working Papers and Publications
|April 2020||The Unprecedented Stock Market Impact of COVID-19|
with Scott R. Baker, Nicholas Bloom, Steven J. Davis, Kyle J. Kost, Tasaneeya Viratyosin: w26945
No previous infectious disease outbreak, including the Spanish Flu, has impacted the stock market as powerfully as the COVID-19 pandemic. We use text-based methods to develop this point with respect to large daily stock market moves back to 1900 and with respect to overall stock market volatility back to 1985. We also argue that policy responses to the COVID-19 pandemic provide the most compelling explanation for its unprecedented stock market imact.
|November 2017||Environmental, Social, and Governance Criteria: Why Investors are Paying Attention|
with Ravi Jagannathan, Ashwin Ravikumar: w24063
We find that money managers could reduce portfolio risk by incorporating Environmental, Social, and Governance (ESG) criteria into their investment process. ESG-related issues can cause sudden regulatory changes and shifts in consumer tastes, resulting in large asset price swings which leave investors limited time to react. By incorporating ESG criteria in their investment strategy, money managers can tilt their holdings towards firms which are well prepared to deal with these changes, thereby managing exposure to these rare but potentially large risks.