About: Stock Return Predictability in the time of COVID-19

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An Entity of Type : schema:ScholarlyArticle, within Data Space : wasabi.inria.fr associated with source document(s)

Attributes	Values
type	Academic Article research paper schema:ScholarlyArticle
isDefinedBy	Covid-on-the-Web dataset
has title	Stock Return Predictability in the time of COVID-19
Creator	Ciner, Cetin
Source	Elsevier; PMC
abstract	We examine predictive ability of a relatively large number of variables from currency, bond and commodity markets for US stock returns during the COVID-19 crisis. As a novel contribution, we estimate robust Lasso predictive regressions with Cauchy errors, consistent with extreme movements and nonlinearities in the market. Both investment grade and high yield corporate bonds emerge as significant predictors of US stock returns in the period, lending support to recent policy decisions by the Federal Reserve.
has issue date	2020-08-28(xsd:dateTime)
bibo:doi	10.1016/j.frl.2020.101705
has license	no-cc
sha1sum (hex)	bbf637cb164c9bbb37d2f2c5e7272e6079311a62
schema:url	https://doi.org/10.1016/j.frl.2020.101705
resource representing a document's title	Stock Return Predictability in the time of COVID-19
has PubMed Central identifier	PMC7452845
schema:publication	Financ Res Lett
resource representing a document's body	covid:bbf637cb164c9bbb37d2f2c5e7272e6079311a62#body_text
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