Table 6.
Industry-specific regressions COVID-19
| Panel A: initial downmarket | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | |
| Initial downmarket | Comm. services | Consumer discretionary | Consumer staples | Energy | Financials | Health care | Industrials | Information Technology | Materials | Real estate | Utilities |
| Δk | − 999.1** | 240.9 | − 1980*** | − 1037 | − 1165*** | − 1195 | − 355.8 | − 1035*** | − 843.7* | − 1091*** | − 1667*** |
| (− 1.949) | (1.330) | (− 6.092) | (− 2.590) | (− 2.458) | (− 7.412) | (− 1.796) | (− 8.221) | (− 2.894) | (− 1.755) | (− 2.216) | |
| Δw | 983.3** | − 216.3 | 1952*** | 1159 | 1340*** | 1207 | 376.7 | 1049*** | 905.7** | 1370*** | 1918*** |
| (1.947) | (− 1.166) | (6.083) | (3.218) | (3.085) | (7.492) | (1.910) | (8.370) | (3.474) | (1.757) | (2.399) | |
| Δ1 − b | − 111.8** | − 5.382 | − 91.34* | 5.598 | 95.30*** | 156.8* | 56.86 | 41.76*** | 50.52 | 2.343 | 154.7*** |
| (− 0.277) | (− 0.0638) | (− 0.310) | (0.225) | (0.688) | (0.342) | (0.408) | (0.429) | (0.525) | (0.0516) | (1.170) | |
| Constant | − 26.43*** | − 49.39*** | − 19.15*** | − 35.24* | − 35.60*** | − 29.60*** | − 39.75*** | − 31.31*** | − 33.97*** | − 31.59*** | − 24.15*** |
| Observations | 19 | 47 | 28 | 13 | 55 | 53 | 61 | 57 | 27 | 18 | 27 |
| Adjusted R2 | 0.227 | 0.042 | 0.605 | 0.457 | 0.501 | 0.097 | 0.064 | 0.278 | 0.222 | 0.585 | 0.765 |
| Panel B: extended downmarket | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| (1) | (2) | (3) | (4) | (5) | (6) | (7) | (8) | (9) | (10) | (11) | |
| Extended downmarket | Comm. services | Consumer discretionary | Consumer staples | Energy | Financials | Health care | Industrials | Information technology | Materials | Real estate | Utilities |
| Δk | − 1131** | 218.3 | − 2551*** | − 582.2 | − 1589*** | − 1444 | − 187.8 | − 1570*** | − 829.7** | − 1859*** | − 1495*** |
| (− 2.223) | (1.115) | (− 8.030) | (− 1.001) | (− 2.989) | (− 9.567) | (− 0.751) | (− 11.23) | (− 2.205) | (− 2.189) | (− 1.816) | |
| Δw | 1164** | − 198.5 | 2548*** | 772.4 | 1779*** | 1444 | 195.0 | 1578*** | 961.5** | 2086*** | 1398** |
| (2.323) | (− 0.990) | (8.125) | (1.476) | (3.652) | (9.570) | (0.783) | (11.35) | (2.859) | (1.957) | (1.597) | |
| Δ1 − b | − 113.4** | − 9.807 | 21.31 | 4.744 | 133.4*** | 160.1*** | 88.97* | 49.58*** | 76.21** | 10.86 | 120.4*** |
| (− 0.283) | (− 0.108) | (0.0741) | (0.131) | (0.859) | (0.373) | (0.505) | (0.459) | (0.614) | (0.175) | (0.832) | |
| Constant | − 10.97** | − 29.01*** | − 2.293 | − 8.632 | − 16.21*** | − 5.984*** | − 21.77*** | − 10.00*** | − 11.91*** | − 9.838*** | − 7.106*** |
| Observations | 19 | 47 | 28 | 13 | 55 | 53 | 61 | 57 | 27 | 18 | 27 |
| Adjusted R2 | 0.285 | 0.031 | 0.720 | 0.204 | 0.656 | 0.139 | 0.190 | 0.465 | 0.207 | 0.724 | 0.722 |
This table shows the industry-specific effect of the change in the Gordon factors on stock returns from February 19 through March 23 for the initial downmarket in panel A and the extended downmarket (through April 30, 2020) in panel B. Columns (1) through (11) show the result of simple ordinary least-squares (OLS) regressions of stock returns on the change in discount rate, Δk, implied growth, Δw, and the payout ratio, Δ1 − b over the period starting December 31, 2019 and ending April 30, 2020. Robust normalized beta coefficients are shown in parenthesis. These indicate the effect size of the Gordon factors and tell how much of a standard deviation in stock returns change for each standard deviation change in the Gordon factors
Significance is denoted by ***p<0.01, **p<0.05, *p<0.1