Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Henriksen, Tom Erik Sønsteng

doi:10.3905/jai.2018.20.4.051

JAI

2018

DOI: 10.3905/jai.2018.20.4.051

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Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Tom Erik Sønsteng Henriksen¹

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2022

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Cited by 1 publication

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Stock reactions of the S&P500 industries to negative and positive COVID-19 news

Alhenawi¹,

Elkhal

2022

SEF

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Purpose This paper aims to use the Covid-19 pandemic situation to conduct an experiment-like study that focuses on industry reactions under stress. Particularly, this study analyzes stock response to eight pandemic related news in 2020 across different industries. This study also investigates the role that the market risk, beta, plays in such stock reactions. Design/methodology/approach This study computes the cumulative abnormal returns (CAR) around COVID-19 events using adjusted daily stock returns of all stocks in the S&P 500 index between January 2, 2020 and December 31, 2020. This study also sorts all stocks by beta into quintiles and measures the CAR [0, +3] for each quintile around each event date. Findings This study finds that low beta portfolios exhibit greater abnormal returns (in absolute value) than high beta portfolios during down markets while high beta portfolios exhibit greater abnormal returns (in absolute values) when the market starts to recover. However, this study finds that beta does not seem to explain the abnormal returns reported in various industries during times of negative sentiment. During times of positive sentiment, both the beta effect and industry effect are present. Originality/value Extant literature almost unanimously concurs that the COVID-19 pandemic has brought about negative stock reactions to financial markets across the globe. Nevertheless, three interrelated issues have not been explored: market reactions during the subsequent recovery, industry heterogeneity and individual stocks’ risk profile. The study addresses these matters.

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Stock reactions of the S&P500 industries to negative and positive COVID-19 news

Alhenawi¹,

Elkhal

2022

SEF

View full text Add to dashboard Cite

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Properties of Long/Short Commodity Indices in Stock and Bond Portfolios

Cited by 1 publication

References 42 publications

Stock reactions of the S&P500 industries to negative and positive COVID-19 news

Stock reactions of the S&P500 industries to negative and positive COVID-19 news

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