Analysis of COVID-19 on Resource-related Industries
Based on Fama and French Five-Factor Model
These authors contributed equally.
- 10.2991/assehr.k.211209.358How to use a DOI?
- Fama-French five-factor; multiple linear regression; COVID-19; gold; mines; coal; oil
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.
- © 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 - 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 -