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Contribution Details
Type | Bachelor's Thesis |
Scope | Discipline-based scholarship |
Title | The change of Swiss stocks’ market betas as a reaction to COVID-19 |
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Institution | University of Zurich |
Faculty | Faculty of Business, Economics and Informatics |
Number of Pages | 79 |
Date | 2021 |
Abstract Text | In this thesis, the effects of sectors and firm characteristics on the changes of the SPI’s betas resulting from the COVID-19 breakout are investigated. Considering the different sectors, the financial and the consumer cyclicals sectors’ betas increased in Q1 2020, with the latter experiencing long-term positive effects and industrial sector exhibiting negative long-term effects. Of the firm characteristics, market capital and international exposure had negative effects, and price-to-book, profitability, and firm age had positive effects on the betas’ changes, with profitability even exhibiting long-term effects. Overall, the results underline the importance of considering changing betas during times of crisis. |
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