Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)

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Research on the Impact of Pandemic on U.S. Wholesale and Retail Industries Based on Fama-French Five Factor Model

Authors
Mengqi Qiao1, *
1Faculty of Science, University of Melbourne, Melbourne, Australia
*Corresponding author. Email: mengqiq@student.unimelb.edu.au
Corresponding Author
Mengqi Qiao
Available Online 27 December 2022.
DOI
10.2991/978-94-6463-052-7_156How to use a DOI?
Keywords
Fama-French Model; Covid-19; Wholesale Industry; Retail Industry; U.S. Stock Market
Abstract

The COVID-19 pandemic is wreaking havoc on the global economy and people’s lives, especially in the wholesale and retail sectors, which are closely related to people’s basic needs. This paper will discuss the impact and changes of COVID-19 on wholesale and retail industry based on the Fama-French five-factor model. The founders of the Fama-French model built Kenneth R. French’s Web database based on data obtained from the relevant information of the U.S. stock market, which is the source of the experimental data in this paper. By extracting the data of 49 industry portfolios collected daily, the wholesale and retail industry data from 2018.01.25 to 2022.03.31 were obtained, and the average data of “Pre-epidemic” and “In-epidemic” groups were compared. Through multiple linear regression coefficients are obtained. The results show that the COVID-19 outbreak did have a negative impact on the wholesale and retail sectors but not overwhelmingly. HML and SMB are redundancy factors in wholesale and retail industries respectively, while CMA has changed from an effective factor to a redundancy factor.

Copyright
© 2022 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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Volume Title
Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
27 December 2022
ISBN
10.2991/978-94-6463-052-7_156
ISSN
2352-5428
DOI
10.2991/978-94-6463-052-7_156How to use a DOI?
Copyright
© 2022 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.

Cite this article

risenwbib
TY  - CONF
AU  - Mengqi Qiao
PY  - 2022
DA  - 2022/12/27
TI  - Research on the Impact of Pandemic on U.S. Wholesale and Retail Industries Based on Fama-French Five Factor Model
BT  - Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022)
PB  - Atlantis Press
SP  - 1404
EP  - 1412
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-052-7_156
DO  - 10.2991/978-94-6463-052-7_156
ID  - Qiao2022
ER  -