. 2021 Apr 15;35(4):515–532. doi: 10.1007/s11408-021-00383-7

Table 1.

Impact of factor rotation We regress US factor active returns (relative to MSCI US) versus market excess returns (relative to 3 month bills) and returns from COVID-19 winner minus loser long short portfolios for fever and treatment period and a constant ( $α$ ) as given in Eq. (1)

	Multi-factor	Minimum volatility	Value	Momentum	Quality	Size
	Panel (a): January 1, 2000, to December 31, 2019
$β_{market}$	$-$ 0.074***	$-$ 0.144***	$-$ 0.071***	$-$ 0.049***	$-$ 0.048***	0.013*
$β_{market}$	(0.002)	(0.003)	(0.005)	(0.005)	(0.003)	(0.006)
$β_{fever}$	$-$ 0.046***	0.029***	$-$ 0.197***	0.016	0.186***	$-$ 0.240***
$β_{fever}$	(0.003)	(0.005)	(0.009)	(0.009)	(0.004)	(0.010)
$β_{treat}$	$-$ 0.060***	$-$ 0.289***	$-$ 0.128***	0.041***	0.032***	0.062***
$β_{treat}$	(0.004)	(0.005)	(0.009)	(0.009)	(0.004)	(0.011)
$α$	0.0001***	0.0001*	$-$ 0.00000	0.0001	0.0001*	0.0001
$α$	(0.00003)	(0.00003)	(0.0001)	(0.0001)	(0.00003)	(0.0001)
${\bar{R}}^{2}$	0.272	0.633	0.153	0.020	0.384	0.130
	Panel (b): January 1, 2020, to June 30, 2020
$β_{market}$	$-$ 0.006	$-$ 0.090***	$-$ 0.048***	0.043*	0.035***	$-$ 0.036
$β_{market}$	(0.006)	(0.011)	(0.009)	(0.019)	(0.009)	$-$ 0.006
$β_{fever}$	$-$ 0.180***	$-$ 0.179***	$-$ 0.327***	0.212***	0.192***	$-$ 0.535***
$β_{fever}$	(0.012)	(0.021)	(0.019)	(0.038)	(0.018)	(0.054)
$β_{treat}$	$-$ 0.148***	$-$ 0.452***	$-$ 0.193***	$-$ 0.200***	$-$ 0.020	0.188**
$β_{treat}$	(0.015)	(0.026)	(0.023)	(0.047)	(0.022)	(0.067)
$α$	$-$ 0.00003	0.00002	$-$ 0.001*	0.0002	$-$ 0.00004	0.0001
$α$	(0.0002)	(0.0003)	(0.0002)	(0.0005)	(0.0002)	(0.001
${\bar{R}}^{2}$	0.690	0.775	0.718	0.382	0.528	0.575

Significance level are starred as *p<0.05; **p<0.01; ***p<0.001