Identifying Shocks to Systematic Risk in Times of Crisis

Jacob Boudoukh (Arison School of Business, RUNI), Yukun Liu (Simon Business School, University of Rochester), Tobias Moskowitz (Yale University, NBER, and AQR Capital Management), Matthew Richardson (Stern School of Business, NYU, NBER and consultant to AQR Capital Management). We would like to thank Brendan Hoffman and Ronen Israel for comments and discussions, as well as seminar participants at Baruch University, Bath University, Carnegie Mellon University, Hong Kong University, New York University, Shanghai Jiaotong University, University of Miami, University of Notre Dame, and Yale University as well as conference participants at CFA New Zealand, FSU Suntrust conference, and GSU CEAR conference for helpful comments. AQR Capital Management is a global investment management firm, which may or may not apply similar investment techniques or methods of analysis as described herein. The views expressed here are those of the authors and not necessarily those of AQR. We would like to thank Niels Gormsen, Brendan Hoffman, Ronen Israel, and Sophia Li for comments and discussions. We would also like to thank Isabella Louise Cortes Malixi for helpful research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.