Equity Styles and the Spanish Flu

5 Pages Posted: 27 Apr 2020

See all articles by Guido Baltussen

Guido Baltussen

Erasmus University Rotterdam (EUR); Robeco Asset Management - Quantitative Investing

Pim van Vliet

Robeco Quantitative Investments

Date Written: April 3, 2020

Abstract

We study the performance of equity styles during the period around 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 crises. We extend the widely used CRSP database with hand-collected data on U.S stocks and examine the major pre-1926 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, 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

Robeco Asset Management - Quantitative Investing ( email )

Rotterdam, 3011 AG
Netherlands

Pim Van Vliet (Contact Author)

Robeco Quantitative Investments ( email )

Rotterdam, 3011 AG
Netherlands

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