Replication files for "A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks"

Xiong et al. (2021) use data on daily stock returns from 25 major publicly listed firms from China and eight major pork-exporting countries to provide the first systematic analysis of the firm-level economic impacts of the 2018 African Swine Fever (ASF) outbreaks. We find that, on average, announcements of ASF outbreaks have led to positive and significant stock returns for both Chinese and international hog firms. China’s hog firms, on average, enjoyed 10%–40% cumulative abnormal returns during the 2019 Chinese Spring Festival, when investors saw signs of a near-20% inventory loss during a peak demand season for pork.

Several databases are necessary to conduct the analyses. ASF announcements in China from August 2018 to September 2019 came from China Ministry of Agriculture and Rural Affairs. The ASF announcements detailed the release date, the county-level location and specific site (i.e., pig farm, slaughterhouse, or transport vehicle) of event detection, the number of hogs in inventory, and the number of infected and dead pigs. Daily market indices and stock price data for China’s top 10 publicly listed hog firms and 15 foreign public listed hog firms from eight countries were downloaded from Yahoo Finance.

The daily firm-level stock price data contain important information that evaluates firms’ performance in the market. In addition to economic drivers, stock prices often also reflect the effect of non-economic shocks. The ASF announcements dataset put together in Xiong et al. (2021) allows researchers to explore different aspects of the economic consequences as a result of the ASF outbreaks in China other than for the financial market. The daily stock price data for Chinese and international hog firms allow others to study the effect of any economic and non-economic events that also occurred during the same sample period that might impact stock price movements.

熊等（2021）采用来自中国25家主要上市公司以及8个主要猪肉出口国的个股日度收益率数据，首次系统性分析了2018年非洲猪瘟（African Swine Fever, ASF）疫情对企业层面的经济影响。研究发现，平均而言，非洲猪瘟疫情的相关公告会对中国及国际生猪养殖企业的股价产生显著正向影响。2019年中国春节期间，中国生猪养殖企业平均累计获得10%至40%的异常收益率，彼时投资者观察到猪肉需求旺季的生猪库存损失接近20%。

本研究需依托多类数据库开展分析。2018年8月至2019年9月期间中国境内的非洲猪瘟疫情公告来源于中国农业农村部（China Ministry of Agriculture and Rural Affairs），公告内容包含发布日期、疫情发生地的县级行政区域与具体检测点位（如生猪养殖场、屠宰场或运输车辆）、生猪存栏量、感染及死亡生猪数量。中国10家头部上市生猪养殖企业与来自8个国家的15家境外上市生猪养殖企业的日度市场指数及股价数据，均从雅虎财经（Yahoo Finance）下载获取。

企业层面的日度股价数据包含评估企业市场表现的重要信息。除经济驱动因素外，股价通常也会反映非经济冲击的影响。熊等（2021）构建的非洲猪瘟疫情公告数据集，可帮助研究者探索中国非洲猪瘟疫情除金融市场维度外的多维度经济后果。中国与国际生猪养殖企业的日度股价数据，则可供其他学者研究样本期内其他可能影响股价波动的经济与非经济事件的效应。