Journal of International Financial Markets, Institutions & Money ( IF 5.4 ) Pub Date : 2021-03-20 , DOI: 10.1016/j.intfin.2021.101333 Nusret Cakici , Adam Zaremba
Does past stock price reaction to pandemics contain information about future returns? To answer this, we estimate firm exposure to a pandemic index representing global concerns of infectious diseases. We demonstrate that such a pandemic beta reliably predicts the cross-section of future stock returns. The highest pandemic beta decile outperforms the lowest pandemic beta decile by about 1% per month on a risk-adjusted basis. The effect is not explained by well-known return predictors and is robust to many considerations. Our findings indicate that investors do not correctly price information stemming from firms’ reactions to pandemics.
中文翻译:
谁应该害怕感染?大流行风险和股票收益的横截面
过去的股价对大流行病的反应是否包含有关未来收益的信息?为了回答这个问题,我们估算了代表全球对传染病的关注的大流行指数所面临的风险。我们证明,这种大流行的beta可以可靠地预测未来股票收益的横截面。在风险调整的基础上,最高的大流行β十分位数每月要比最低的大流行β十分位数高出约1%。众所周知的收益预测变量并没有解释这种影响,并且这种影响在许多方面都很可靠。我们的发现表明,投资者没有正确定价公司对流行病的反应所产生的信息。