The performances of Financial Models During COVID-19: Evidence from CAPM and Fama-French Five Factors Model

DOI

10.2991/assehr.k.211209.291How to use a DOI?

Keywords

CAPM; Fama-French five factors; COVID-19

Abstract

The ravages of the COVID-19 pandemic impact the operation of society, from home isolation to the shutdown of factories, bringing great uncertainty to the financial market. This article uses the information retrieval method to review the performance of the CAPM model and the Fama-French five factors model under the COVID-19 pandemic. As for the issue that CAPM has a weak ability to interpret abnormal data, many researchers have improved the CAPM model according to the real situation of different industries, but the improved model still has shortcomings. Moreover, there are differences in the performance of different industries in the Fama-French model before and after the pandemic. Specifically, interpretation strength has increased, and Mkt, SMB, HMI have changed significantly, but there are still unexplainable risk factors. Thus, future research should focus on how to further improve the interpretation of the model in response to emergencies to better explain and obtain excess returns. These results shed light on the better application of financial models in different situations.

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  - Yaxuan Liu
AU  - Dingding Xu
PY  - 2021
DA  - 2021/12/15
TI  - The performances of Financial Models During COVID-19: Evidence from CAPM and Fama-French Five Factors Model
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1796
EP  - 1803
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.291
DO  - 10.2991/assehr.k.211209.291
ID  - Liu2021
ER  -