Covid-19 and smart beta: A case study on the role of sectors

We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural cau...

Descripción completa

Detalles Bibliográficos
Autores principales: Hasaj, Milot, Scherer, Bernd
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8049398/
https://www.ncbi.nlm.nih.gov/pubmed/34765080
http://dx.doi.org/10.1007/s11408-021-00383-7
_version_ 1783679419430207488
author Hasaj, Milot
Scherer, Bernd
author_facet Hasaj, Milot
Scherer, Bernd
author_sort Hasaj, Milot
collection PubMed
description We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes.
format Online
Article
Text
id pubmed-8049398
institution National Center for Biotechnology Information
language English
publishDate 2021
publisher Springer US
record_format MEDLINE/PubMed
spelling pubmed-80493982021-04-16 Covid-19 and smart beta: A case study on the role of sectors Hasaj, Milot Scherer, Bernd Financ Mark Portf Mang Article We investigate the role of sectors on the performance of smart beta products during the COVID-19 crisis. Cross-sectional differences in excess returns (versus a market capitalized portfolio) are driven by strong exposures to COVID-19-related industry rotation, rather than to long-term structural causes. Springer US 2021-04-15 2021 /pmc/articles/PMC8049398/ /pubmed/34765080 http://dx.doi.org/10.1007/s11408-021-00383-7 Text en © Swiss Society for Financial Market Research 2021 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Hasaj, Milot
Scherer, Bernd
Covid-19 and smart beta: A case study on the role of sectors
title Covid-19 and smart beta: A case study on the role of sectors
title_full Covid-19 and smart beta: A case study on the role of sectors
title_fullStr Covid-19 and smart beta: A case study on the role of sectors
title_full_unstemmed Covid-19 and smart beta: A case study on the role of sectors
title_short Covid-19 and smart beta: A case study on the role of sectors
title_sort covid-19 and smart beta: a case study on the role of sectors
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8049398/
https://www.ncbi.nlm.nih.gov/pubmed/34765080
http://dx.doi.org/10.1007/s11408-021-00383-7
work_keys_str_mv AT hasajmilot covid19andsmartbetaacasestudyontheroleofsectors
AT schererbernd covid19andsmartbetaacasestudyontheroleofsectors

Ejemplares similares