Firm Efficiency and Stock Returns during the Covid-19 Crisis: Evidence in Thailand


  • ธนพล ธนสุวรรณโชติ ปริญญาโททางการเงิน คณะพาณิชยศาสตร์และการบัญชี มหาวิทยาลัยธรรมศาสตร์


Covid-19 in Thailand, SFA, DEA, Firm efficiency


This research investigates the relationship between firm efficiency and stock return during the Covid-19 pandemic in Thailand from 13 JAN 2020 to 28 DEC 2021. The efficiency of the firm can be determined by its capability to manage its resource efficiency. The efficient firm has a lower impact than inefficient firm and increased capability to handle the revenue shock in an uncertain scenario. Two methods are used to identify firm efficiency: data envelopment analysis (DEA) and stochastic frontier analysis (SFA). Therefore, DEA and SFA are used in this research to conduct the firm efficiency during 2019 and 2020. The observation contained 375 listed firms on the Stock Exchange of Thailand and was classified into four main waves. A positive relationship is found between firm efficiency and stock return during the first wave of the Covid-19 pandemic. The efficiency score from SFA is more significant for explainable factors than DEA.


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