Measuring the impact of COVID-19 on stock prices and profits in the food supply chain.

The coronavirus disease 2019 pandemic has shocked financial and commodity markets around the world. We are analyzing stock prices and information from financial reports to examine the impact of the pandemic on stock price volatility and profits of companies in the food supply chain. We use a data set of 71 major listed companies in the food value chain from stock indices in the US, Japan, and Europe. We calculate the annualized volatility per sector, screen the contents of the reports for stated effects of the pandemic on profits, and analyze stock price reactions in four different phases of the pandemic. The results show that stock markets have reacted with an increased price volatility. Manufacturers of fertilizers and agrochemicals as well as food distributors show particularly high volatilities in their stock prices. Low price volatility was observed in the stocks of food retailers. This pattern is also reflected in the profits of companies published in financial reports. Our regression analyses indicate that stocks of more profitable companies exhibited higher cumulative returns during the outbreak. In the phases thereafter, riskier stocks received higher discounts on returns. EconLit citations: G01, G12, E44, Q01.