On equity market inefficiency during the COVID-19 pandemic.
Int Rev Financ Anal
; 77: 101820, 2021 Oct.
Article
in English
| MEDLINE | ID: covidwho-1293870
ABSTRACT
We show that during the weeks following the initiation of the COVID-19 pandemic, the United States equity market was inefficient. This is demonstrated by showing that utility maximizing agents over the time period ranging from mid-February to late March 2020 can generate statistically significant profits by utilizing only historical price and virus related data to forecast future equity ETF returns. We generalize Merton's optimal portfolio problem using a novel method based upon a likelihood ratio in order to construct a dynamic trading strategy for utility maximizing agents. These strategies are shown to have statistically significant profitability and strong risk and performance statistics during the COVID-19 time-frame.
Full text:
Available
Collection:
International databases
Database:
MEDLINE
Type of study:
Prognostic study
Language:
English
Journal:
Int Rev Financ Anal
Year:
2021
Document Type:
Article
Affiliation country:
J.irfa.2021.101820
Similar
MEDLINE
...
LILACS
LIS