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
- 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].