Ho, Chun-Yu; Liu, Xiaojie; McCarthy, Patrick S. - In: Airlines and the COVID-19 pandemic, (pp. 71-90). 2024
Abstract This study examines the relationship between COVID-19 uncertainty and stock returns across US airlines. Using the pandemic uncertainty index (PUI) developed by , we estimate a pandemic beta by augmenting the capital asset pricing model with the PUI as an additional factor. We find that...