"Are pandemics systemically important to modern-day financial markets? This study uses the COVID-19 pandemic as a natural experiment for testing how large-scale pandemics affect financial markets. Using hand-collected data, I find that at the firm level, managers systematically underestimated their exposure to the COVID-19 pandemic in their SEC-mandated risk factors, and the vast majority of firms decreased in value at the pandemic's onset. Buy and hold returns at the pandemic's onset are nearly identical for firms that included pandemics as a risk factor versus those that did not. I also find that the pandemic triggered unprecedented changes in U.S. employment levels and the values of bonds, commodities, and currencies. Overall, this study provides some of the first evidence on how pandemics affect financial markets."

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