Research the Impacts of Covid-19 on U.S. Entertainment and Publishing Industry Based on Fama-French Five Factor Model

DOI

10.2991/assehr.k.211209.449How to use a DOI?

Keywords

Fama-French Model; Covid-19; Entertainment; Publishing; U.S. stock market

Abstract

The outbreak of COVID-19 in early 2020 has had a huge impact on the global economy. This paper aims to analyze the impact of the outbreak on the entertainment industry and publishing industry. Stock market data of selected industries is used for analysis, and Fama-French five-factor model is adopted to evaluate the influence of Covid-19. The data for each industry is divided into pre-epidemic and post-epidemic groups. Then the validity of each factor in the industry will be tested by multiple linear regression, and the correlation coefficients will be obtained. The results indicate that the market portfolio factor (MKT) and size factor (SMB) in the model have good significance in the stock market of the two industries. In addition, their coefficients all went up after the outbreak, suggesting that they were less negatively affected by the pandemic than the overall market. It is worth noting that both industries’ book-to-market ratio (HML) was insignificant before the pandemic and became significant during the pandemic. That may be due to investor pessimism, which has led to a clear style division between value and growth stocks. However, the significant changes of profitability factor (RMW) and investment factor (CMA) in the two industries are very different. This paper speculates the reasons for the changes of the two factors in the two industries. The study has laid a foundation for economic analysis and prediction of such events that will greatly impact the economy in the future. At the same time, the speculation also provides inferential ideas for subsequent studies in these two industries.

Copyright

© 2021 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Boyang Wang
PY  - 2021
DA  - 2021/12/15
TI  - Research the Impacts of Covid-19 on U.S. Entertainment and Publishing Industry Based on Fama-French Five Factor Model
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 2755
EP  - 2760
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.449
DO  - 10.2991/assehr.k.211209.449
ID  - Wang2021
ER  -