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Analyzing Covid-19's impact on different sectors I would like to use sector indices. Can you use CAPM or similar to calculate abnormal returns of indices or does it only work with stock prices?

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    $\begingroup$ Sure you can. In the end, it's just a regression of SPY onto sector ETFs. $\endgroup$ – LazyCat Oct 23 '20 at 17:13
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Sure. Your CAPM will tell you there's significant positive alpha in Tech and significant negative in Energy! Which makes total economic sense...

Except do the same for the last 5 years excluding 2020; and you might/will get largely the same result. Tech boomed; and Energy sucked for years before Covid ;-)

So if you're serious about measuring the Covid effect, put in a "dummy" (1 if after February this year) and a "slope dummy" variable into your analysis (ie market returns if post-Feb, 0 if before). These will tell you how Covid has changed the Tech-loving, Energy-hating behaviour of the markets in the Covid-period versus similar before ;-)

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