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

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Analysis of COVID-19 on Resource-related Industries

Based on Fama and French Five-Factor Model

Authors
Jinhan Meng1, †, Shuwen Wang2, †, Jingliang Wu3, †, Baoqing Zheng4, †, *
1School of Mathematics and Statistics, Beijing Technology and Business University, Beijing, 100048, China
2Business school, University of Birmingham, Birmingham West Midlands, B15 2TT, United Kingdom
3Reading Academy, Nanjing University of Information Science and Technology, Nanjing 210000, China
4School of Art and Science, Rutgers, The State University of New Jersey, New Brunswick 08901, the United States
†

These authors contributed equally.

*Corresponding author. Email: bz168@scarletmail.rutgers.edu
Corresponding Author
Baoqing Zheng
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.358How to use a DOI?
Keywords
Fama-French five-factor; multiple linear regression; COVID-19; gold; mines; coal; oil
Abstract

CAPM model and Fama-French model are frequently used in the field of the portfolio. This paper will discuss the application of the Fama-French five-factor model in the impact of COVID-19 on four industries dominated by commodities and give possible reasons. To study the outbreak’s impact on the gold, mines, coal, and oil industry before and after the outbreak, this report adopts the Fama-French five-factor model theory for analysis, and the data are processed by multiple linear regression to obtain the desired results. The results showed that MKT, SMB, HML, RMW, and CMA changed in different degrees in four industries before and after the epidemic. Therefore, after a “black swan” event such as COVID-19, investors should consider the impact of different factors on different sectors separately, rather than generalizing about all relevant sectors.

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.211209.358How 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  - Jinhan Meng
AU  - Shuwen Wang
AU  - Jingliang Wu
AU  - Baoqing Zheng
PY  - 2021
DA  - 2021/12/15
TI  - Analysis of COVID-19 on Resource-related Industries
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 2183
EP  - 2189
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.358
DO  - 10.2991/assehr.k.211209.358
ID  - Meng2021
ER  -