This paper examines the stock price reactions to the 2019 novel coronavirus disease (COVID-19) and how real shocks and financial policies influence firm value. Initially, firms with significant international trade exposure, especially those linked to China, underperformed. As the virus spread to Europe and the U.S., corporate debt and cash holdings became important value drivers, even after the Fed intervened in the bond market. Conference call content and tone reflected these changes over time. The results show how anticipated real effects of the health crisis were amplified through financial channels. The study analyzes three periods: Incubation (Jan 2–17), Outbreak (Jan 20–Feb 21), and Fever (Feb 24–Mar 20). During the Incubation and Outbreak periods, firms with higher exposure to China experienced lower returns. By the Fever period, firms with lower cash holdings and higher leverage suffered more. These effects were economically significant, with cash holdings explaining about one-sixth of the standard deviation of returns in the Fever period. The paper also examines how managers and analysts discussed COVID-19 during conference calls. Internationally oriented firms and firms with low cash holdings were more likely to discuss the virus. The tone of calls became more negative, especially for highly leveraged firms in the Fever period. The study finds that the Incubation and Outbreak periods saw investors price in the effects of the evolving health crisis on international trade. The Fever period brought a shift in market concerns to broader systemic issues, possibly due to preexisting fragilities in credit markets. The paper contributes by providing novel causal evidence of the importance of trade and financial policies for firm value. It also offers the first analysis of cross-sectional stock price responses to the emergence of COVID-19, highlighting how markets react to the realization of a tail risk event. The results show that investors anticipated the amplification of the real shock through financial channels. The paper also finds that the effects of leverage and cash holdings were more pronounced in industries hardest hit by the pandemic. Finally, the study shows that the Federal Reserve's interventions in March 2020 partially reversed investor concerns about corporate debt and liquidity, but these concerns remained high.This paper examines the stock price reactions to the 2019 novel coronavirus disease (COVID-19) and how real shocks and financial policies influence firm value. Initially, firms with significant international trade exposure, especially those linked to China, underperformed. As the virus spread to Europe and the U.S., corporate debt and cash holdings became important value drivers, even after the Fed intervened in the bond market. Conference call content and tone reflected these changes over time. The results show how anticipated real effects of the health crisis were amplified through financial channels. The study analyzes three periods: Incubation (Jan 2–17), Outbreak (Jan 20–Feb 21), and Fever (Feb 24–Mar 20). During the Incubation and Outbreak periods, firms with higher exposure to China experienced lower returns. By the Fever period, firms with lower cash holdings and higher leverage suffered more. These effects were economically significant, with cash holdings explaining about one-sixth of the standard deviation of returns in the Fever period. The paper also examines how managers and analysts discussed COVID-19 during conference calls. Internationally oriented firms and firms with low cash holdings were more likely to discuss the virus. The tone of calls became more negative, especially for highly leveraged firms in the Fever period. The study finds that the Incubation and Outbreak periods saw investors price in the effects of the evolving health crisis on international trade. The Fever period brought a shift in market concerns to broader systemic issues, possibly due to preexisting fragilities in credit markets. The paper contributes by providing novel causal evidence of the importance of trade and financial policies for firm value. It also offers the first analysis of cross-sectional stock price responses to the emergence of COVID-19, highlighting how markets react to the realization of a tail risk event. The results show that investors anticipated the amplification of the real shock through financial channels. The paper also finds that the effects of leverage and cash holdings were more pronounced in industries hardest hit by the pandemic. Finally, the study shows that the Federal Reserve's interventions in March 2020 partially reversed investor concerns about corporate debt and liquidity, but these concerns remained high.