Table 4.

Predictability results.

	Pre-COVID Announcement	Post-COVID Announcement
$\sum _{i=1}^5{\lambda }_i^{\mathit{adj}}$	0.0138** (0.0057) [2.4039]	0.0063*** (0.0014) [4.2257]

Note: *** and ** & * imply the rejection of the null hypothesis of no predictability at 1%, 5% & 10% levels of significance, respectively. Values in parentheses - () denote standard errors while those reported in square brackets – [] are for t-statistics.