. 2020 Sep 3;37:101748. doi: 10.1016/j.frl.2020.101748

Table 3.

Systematic Risks for the pre-COVID-19 and COVID-19 regime periods.

Industry	${\bar{β}}_{C}$	${\bar{β}}_{P C}$	${\bar{β}}_{C} - {\bar{β}}_{P C}$	t-statistics
Panel A: Top 7 industries
Utilities	0.65	0.29	0.36	12.74^⁎⁎⁎
Restaurants, Hotels, & Lodgings	0.93	0.68	0.25	11.81^⁎⁎⁎
Tobacco	0.70	0.49	0.21	11.19^⁎⁎⁎
Petroleum and Natural Gas	1.24	1.04	0.20	13.93^⁎⁎⁎
Consumer Goods	0.76	0.58	0.19	12.27^⁎⁎⁎
Food Production	0.63	0.49	0.14	12.83^⁎⁎⁎
Tele-com & Broadcasting	0.81	0.69	0.12	9.68^⁎⁎⁎
Panel B: Bottom 7 industries
Business Equipment	1.11	1.28	−0.17	−15.91^⁎⁎⁎
Personal and Business Services	1.08	1.22	−0.14	−16.52^⁎⁎⁎
Steel	1.16	1.28	−0.11	−12.96^⁎⁎⁎
Fabricated Products and Machinery	1.18	1.27	−0.1	−16.44^⁎⁎⁎
Electrical Equipment	1.06	1.15	−0.09	−12.25^⁎⁎⁎
Automobiles and Trucks	1.05	1.11	−0.06	−13.92^⁎⁎⁎
Health Care, Medical, Pharmaceutical Products	0.89	0.92	−0.03	−17.91^⁎⁎⁎

This table reports average betas for pre-covid-19 sample period and COVID-19 sample period, and mean differences in the average betas for each industry between two sample periods. Panel (a) shows top 7 industries among 30 industries, which have higher mean difference in average betas between two sample periods. Panel (b) shows bottom 7 industries have lower mean difference in average betas between two sample periods.

*** p<0.01, ** p<0.05, * p<0.10.