Cameron School of Business at UNCW

Stock Return Predictability in the time of COVID-19

Posted by Cameron School of Business on Aug 6, 2020 9:21:51 AM

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Story notes contributed by Cetin Ciner, Professor in Finance at the UNCW Cameron School of Business.

Cetin Ciner, Ph.D. professor of finance at UNCW Cameron School of Business has “Stock Return Predictability in the time of COVID-19” accepted for publication in Finance Research Letters, which is rated A by the Australian Business Dean’s Council.

Ciner’s primary finding is that, “there was significant predictability in the stock market in the time of COVID-19, and corporate bond markets, both investment grade and high yield, were by far the most informative variables."

According to Ciner, “the stock market started to melt down with the Covid-19 panic in early March and stabilizing the stock market was an important goal for economic decision makers. The US Federal Reserve took unprecedented action on March 23rd and decided to purchase corporate bonds (both investment and non-investment grades) as a backstop. My study investigates predictors of stock market returns during the pandemic using novel statistical methods and finds that corporate bonds were indeed the most influential factors. Hence, while the decision by the Fed on March 23rd probably changed US capitalism forever, it was instrumental in stabilizing the stock market and will ultimately aid in the recovery.

Topics: analytics, capitalism, community, economics, communication, stock market, business analytics, research

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Cameron School of Business at UNCW

UNCW was established as Wilmington College in 1947. The Department of Business and Economics became the Cameron School of Business in 1979. Focused on the transformation of today’s business world from the industrial age into the information age, business education at the Cameron School of Business is focused on the technical, analytical and interpersonal skills students will need to lead this fundamental change in the business world through the 21st century.

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