Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Analysis of U.S. Consumption-related Industry Based on Fama-French Model Under COVID-19

Authors
Yang Cao1, †, Baozhen Ouyang2, †, Mingji Xi3, *, †, Runze Yu4, †
1South Kensington Campus, Imperial College London, London SW7 2AZ, Great Britain
2Faculty of Social Sciences, The University of Sheffield, Sheffield S10 2TN, Great Britain
3Business School, The Chinese University of Hong Kong, Hong Kong 999077, China
4School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China
†

These authors contributed equally.

*Corresponding author. Email: Email:1906070424@pop.zjgsu.edu.cn
Corresponding Author
Mingji Xi
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.514How to use a DOI?
Keywords
Fama-French Model; Covid-19; Consumption-related industry; U.S. stock market
Abstract

Many researchers have contributed much to asset pricing theory and continuously try to find the best model to capture stock average return. The CAPM model and Fama-French 3-factor model, Fama-French 5-factor model is another way to capture the return rates and their changes. At the beginning of 2020, COVID-19 spread all over the world, which influenced the U.S. stock market a lot. Therefore, this paper tends to test the performances of Fama-French 5 factors models on consumption-related industry in U.S stock market before and after the outbreak of COVID-19 with multiple linear regression and examine the reasons. The results show that Fama-French 5-factor model captures the return of stocks in the U.S. stock market. As for specific factors, Market risk (MKT) shows significance both before and after COVID-19, and the power of explanation becomes stronger, that means this factor affects the return of stocks in the U.S. stock market a lot. Small minus big (SMB) varies a lot during the pandemic, it becomes insignificant after the epidemic and its negative coefficient indicates the excess return was due to a large size company. Due to COVID-19, High minus Low (HML) began to play a positive role in soda and smoke market. For five-factor model, Robust Minus Weak (RMW) changed its position and became weaker. The position of Conservative Minus Aggressive (CMA) remained unchanged. After the outbreak, CMA became less significant.

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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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
978-94-6239-483-4
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.514How to use a DOI?
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.

Cite this article

risenwbib
TY  - CONF
AU  - Yang Cao
AU  - Baozhen Ouyang
AU  - Mingji Xi
AU  - Runze Yu
PY  - 2021
DA  - 2021/12/15
TI  - Analysis of U.S. Consumption-related Industry Based on Fama-French Model Under COVID-19
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 3139
EP  - 3144
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.514
DO  - 10.2991/assehr.k.211209.514
ID  - Cao2021
ER  -