Better or Not? Research on the Influence of Covid-19 on U.S. Financial Industry Based on Fama-French Five Factor Model

DOI

10.2991/assehr.k.211209.289How to use a DOI?

Keywords

Fama-French Model; Covid-19; Business service; U.S. stock market

Abstract

Influenced by the “black swan incident” Covid-19, huge changes have occurred in the global financial market. Based on Kenneth. French-Data Library, this paper uses multiple linear regression to analyze the statistical data of the U.S. stock financial industry before and during Covid-19, which is used to test the impact of Covid-19 on the financial industry and effectiveness of the Fama-French five-factor model (FF-5 model). The result shows that the epidemic had a certain stimulative effect on applying the Fama-French five-factor model in the real stock market. Among them, the coefficients and significance level of MKT, SMB, and HML have increased significantly, making the model more sensitive to capture changes in risky assets, although CMA and RMW are redundant. In addition, Covid-19 has had a huge influence on the financial industry with sharp fluctuation of related industry indexes. The market differentiation structure of the financial industry and investors’ risk appetite also have changed significantly during this period.

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  - Zeyang Guo
PY  - 2021
DA  - 2021/12/15
TI  - Better or Not? Research on the Influence of Covid-19 on U.S. Financial 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  - 1784
EP  - 1790
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.289
DO  - 10.2991/assehr.k.211209.289
ID  - Guo2021
ER  -