COVID-19 Research

How are US industries responding to the current COVID-19 pandemic?

Tip: Choose which industries you wish to display.

Term Structure of Equity Premia inverted in mid-March 2020 after the US declared national emergency:

Finding: Industries with the highest level of cash-flow risk perform the worst

Duration-based Explanation: Industries with high cash-flow risk have lower average dividend growth

Fama French 30 Industries

Description:

• Cash-flow Risk = Long-term Covariance between Dividend Share and Aggregate Consumption Growth (1929-2018), the displayed level is 1000x larger
• Equity Term Structure estimated using S&P 500 Dividend Futures data from CME
• Excess Return = Average Daily Excess Return (January - March 2020)
• CAPM beta = CAPM beta estimated using daily excess returns (January - March 2020)
• Annual Dividend Growth = Long-term Average Annual Dividend Growth (1929-2018)

Download the preliminary version of a working paper [here].