Analysis of Financial-related Industry During COVID-19 Based on the Fama-French Five Factor Model

DOI

10.2991/978-94-6463-441-9_56How to use a DOI?

Keywords

Fama-French Five Factor Model; Financial-related Industry; COVID-19

Abstract

COVID-19 has had a huge impact on the global economy, and financial markets in particular have been hit hard. Based on the Fama-French five-factor model and multiple linear regression theory, this paper investigates the differences in investment directions in the U.S. banking, insurance, and trading sectors before and after COVID-19. The data in this paper are selected from Kenneth R. french's web-based database. After comparing the linear regression results for the two periods before and after COVID-19, it is found that COVID-19 had the greatest impact on the U.S. insurance industry, followed by the banking industry, while the impact on the trading industry was relatively insignificant. The findings suggest that the insurance industry needs to pay more attention to value stock investments after COVID-19, the banking industry still prefers to invest in higher market capitalization and larger companies after COVID-19 but does not need to consider the impact of operating profit indicators on the correlation of investment returns, and the trading industry needs to maintain its pre-COVID-19 investment preferences for companies with higher market capitalization, larger size, higher book-to-market ratio, and lower values of operating profit indicators, which can yield higher returns.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Yin Yu
PY  - 2024
DA  - 2024/06/21
TI  - Analysis of Financial-related Industry During COVID-19 Based on the Fama-French Five Factor Model
BT  - Proceedings of the 2023 International Conference on Economic Management，Financial Innovation and Public Service (EMFIPS 2023)
PB  - Atlantis Press
SP  - 658
EP  - 671
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-441-9_56
DO  - 10.2991/978-94-6463-441-9_56
ID  - Yu2024
ER  -