Financial-Analytics

Financial Analytics of Stock Returns during Covid-19 Pandemic in 2020

Individual project for Financial Analytics (BA870)

Data Source

• Wharton Research Data Services Compustat
• Fiscal 2020 monthly stock returns data
  • Companies in the Russell 3000 index (2,800+ companies)
  • Early 2020 Returns: Jan - Mar, 2020
  • Late 2020 Returns: Apr - Dec, 2020
• Fiscal 2019 accounting data for financial ratios
• GICS GGROUP Codes / NAICS Industry Codes

Project Objectives

• Determine the financial accounting characteristics in 2019 that explain varying exposures to Covid-19 market shock for early (Jan-Mar) and late (Apr-Dec) 2020.
• Discover if industry or sector explains differences in stock returns for early (Jan-Mar) and late (Apr-Dec) 2020.

Language/Methods

• Language: Python
• Linear Regression

Project Summary

• Identified the ratios and characteristics which played as the most statistically and economically significant determinants of stock returns after Cvoid-19 shock.
• Calculated average stock returns for each industry classification, conducted fixed effect regressions, and explored the correlation between the industries and stock returns in early and late 2020.