Impacts of Covid-19 on Consumption-Related Industries Based on Fama-French Five Factor Model
These authors contributed equally.
- 10.2991/assehr.k.211209.129How to use a DOI?
- Fama-French Five Factor Model; Covid-19; Stock Market
Covid-19 has brought a significant impact on people’s daily life by influencing various industries. To discuss the impact of Covid-19 on consumption-related industries, this paper chose four industries of Agriculture, Food, Soda and Beer industries of the U.S. market. Based on Fama-French Five Factor Model, multi-regression analysis was adopted on daily returns before and after the breakout of Covid-19. The coefficients of the five factors before and after Covid-19 were obtained and compared. The results indicate that market risks are still significant in these four industries, and the Food industry may have higher market risks so that people are expecting a higher return. Besides, no matter how large the scale of the companies, the consumption-related industries were influenced by Covid-19 to a large extent. In addition, since the Food industry needs to stay stable in terms of profits level risks, the lower the Food industry has, the more the excess return to the individual stock will be. However, even these four industries were both influenced by Covid-19, people were still confident with the Food industry. They considered it was the first option to invest compared to the Beer and Soda industries. Therefore, the volatility and vulnerability of a specific sector can be analysed. Then it is possible to choose the stable sectors to build portfolios, which is possible to obtain a more stable return in this special period.
- © 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
TY - CONF AU - Yizi Jiang AU - Yuanyu Li AU - Jiaqi Ruan PY - 2021 DA - 2021/12/15 TI - Impacts of Covid-19 on Consumption-Related Industries 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 - 784 EP - 789 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.129 DO - 10.2991/assehr.k.211209.129 ID - Jiang2021 ER -