There are entire industries devoted to modelling stock returns, so probably sky's the limit on how fancy you could choose to get there, but I'd maybe focus on (a) how would you mathematically state the hypothesis you want to test using your variables, and (b) if that statement looks like a linear regression, are you okay with using linear regression's assumptions? If there are assumptions you aren't comfortable with, then almost certainly there are other modeling steps that can help (for example autoregressive models if you're worried about correlations between one day and the next, possible covariates for periodic trends for day of the week or by subsector, comparison data outside of spring 2020 if you're looking at covid-related effects, etc) but is up to you to decide what features you think are important.