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Monday, August 2 • 2:15pm - 3:45pm
2B3 Enterprise Risk Management and Stock Market Reactions During the COVID-19 Pandemic

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Hao Lu, University of Calgary; Anne Kleffner, University of Calgary; Hai Wang, St. Mary's University; Liu Xiaoyu, St. Mary's University

This research investigates whether enterprise risk management (ERM) increased firm stock market returns and reduced volatility of returns during the COVID-19 crisis. We argue that the adoption of ERM can increase confidence in the firm’s resiliency to external shocks, resulting in higher stock market returns and lower volatility. We use the machine learning technique, i.e., the LDA algorithm, and use corporate annual reports to identify whether firms have adopted ERM. Our preliminary results, using a random sample of 1468 US firms, indicates that ERM firms have a smaller reduction in abnormal returns (AR) during the recession period of COVID-19 (the first quarter of 2020 when the stock market crashed) and a larger increase in AR during the recovery period (the second and the third quarters of 2020 when the stock market recovered from the crash). We do not find a significant impact of ERM on stock return volatility with our preliminary data.


Martin Eling

University of St. Gallen

avatar for Hao Lu

Hao Lu

Assistant Professor, Saint Mary's University
avatar for Anne Kelffner

Anne Kelffner

Professor and Chair, Insurance and Risk Management, University of Calgary
Dr. Anne Kleffner, PhD is Professor and Chair, Insurance and Risk Management at the Haskayne School, University of Calgary. Dr. Kleffner 's research interests include enterprise risk management, insurance regulation, and the relationship between ESG (environmental, social and governance) performance... Read More →

Monday August 2, 2021 2:15pm - 3:45pm EDT