Equity Styles and the Spanish Flu

6 Pages Posted: 27 Apr 2020 Last revised: 20 Oct 2022

See all articles by Guido Baltussen

Guido Baltussen

Erasmus University Rotterdam (EUR); Northern Trust Corporation - Northern Trust Asset Management

Pim van Vliet

Robeco Quantitative Investments

Bart van Vliet

Erasmus University Rotterdam (EUR); Northern Trust Corporation - Northern Trust Asset Management

Date Written: April 3, 2020

Abstract

In this brief note we evaluate equity styles during the COVID-19 period, the Spanish Flu pandemic of 1918-1919 and other deep historical market corrections to gain a deeper understanding on the
performance of different groups of stocks during pandemics and crises. To this end we extend the
widely used CRSP database with hand-collected data on U.S stocks pre-1926 and examine and the major market corrections. We find that low-volatility and momentum tend to reduce losses during sharp market selloffs. By contrast, smaller stocks with high yields (value) offer less protection, but perform well during the recovery phase. Over major market selloffs and subsequent recoveries combined equity styles added value.

Keywords: equity styles, equity factors, low volatility, value, size, momentum, crises, pandemics

Suggested Citation

Baltussen, Guido and van Vliet, Pim and van Vliet, Bart, Equity Styles and the Spanish Flu (April 3, 2020). Available at SSRN: https://ssrn.com/abstract=3564688 or http://dx.doi.org/10.2139/ssrn.3564688

Guido Baltussen

Erasmus University Rotterdam (EUR) ( email )

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Northern Trust Corporation - Northern Trust Asset Management ( email )

50 South LaSalle Street
Chicago, IL 60603
United States

Pim Van Vliet (Contact Author)

Robeco Quantitative Investments ( email )

Rotterdam, 3011 AG
Netherlands

Bart Van Vliet

Erasmus University Rotterdam (EUR)

Burgemeester Oudlaan 50
3000 DR Rotterdam, Zuid-Holland 3062PA
Netherlands

Northern Trust Corporation - Northern Trust Asset Management ( email )

50 South LaSalle Street
Chicago, IL 60603
United States

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