COVID-19 and the march 2020 stock market crash. Evidence from S&P1500

•March 2020 stock market crash triggered by COVID-19.•Natural gas, food, healthcare, and software stocks earn high positive returns.•Petroleum, real estate, entertainment, and hospitality stocks fall dramatically.•Loser stocks exhibit extreme asymmetric volatility.•Differential reaction of poorest performers to COVID-19. This paper investigates the US stock market performance during the crash of March 2020 triggered by COVID-19. We find that natural gas, food, healthcare, and software stocks earn high positive returns, whereas equity values in petroleum, real estate, entertainment, and hospitality sectors fall dramatically. Moreover, loser stocks exhibit extreme asymmetric volatility that correlates negatively with stock returns. Firms react in a variety of different ways to the COVID-19 revenue shock. The analysis of the 8K and DEF14A filings of poorest performers reveals departures of senior executives, remuneration cuts, and (most surprisingly) newly approved cash bonuses and salary increases.