Stay-at-Home Mobility Shocks and Stock Market Outcomes during the COVID-19 Pandemic

Using Google’s recently introduced COVID-19 Community Mobility Reports, we test the effects of stay-at-home activity on the US stock market outcomes. We argue that shocks to residential and workplaces mobility reflect stay-at-home activity and capture shocks to retail investor inattention and attention, respectively. Our results suggest that stay-at-home activity explains returns to the momentum and several other anomalies.