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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… Click to show full 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.
Keywords:
stock return;
predictability time;
finance;
return predictability;
stock;
time covid
Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!