Partisan Return Gap: The Polarized Stock Market in the Time of a Pandemic

The authors are grateful to the editor, Lukas Schmid, associate editor, and two anonymous referees for helpful comments. The authors thank Philip Bromiley, Thummim Cho, Tony Cookson (discussant), Zhi Da, Jack Favilukis, David Hirshleifer, Danling Jiang, Jinoug Jeung (discussant), Da Ke, Weikai Li, Yukun Liu, Maarten Meeuwis (discussant), William Mullins (discussant), Lilian Ng, Johannes Stroebel, Pietro Veronesi (discussant), Matthew Vorsatz (discussant), Sheng-jun Xu, Terry Zhang, and seminar and conference participants at University of California Irvine, Australian National University, McGill University, University of Toronto, Queen’s University, Bilkent University, York University, University of Waterloo, Wilfrid Laurier University, NBER Asset Pricing 2021 Fall Meeting, China International Conference in Finance 2021, Midwest Finance Association Conference 2022, SFS Cavalcade 2022, 4th Future of Financial Information Conference, Asian Finance Association Conference 2022 and SafeGraph for helpful comments. The authors thank SafeGraph for providing access to the data on store traffic and Xiaoji Lin for sharing the data on labor force telework flexibility. The authors thank Zhiqi Rong, Diana He, Margaret Qu, Zoey Zhou, and Benlin Gan for excellent research assistance. Any errors are the authors. W. Wang’s current affiliation is Babson College, Finance Division, Babson Park, MA 02457.