Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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

Authors
Zeyang Guo1, *
1Department of Economics, University of Birmingham, Birmingham B15 2TT, United Kingdom
*Corresponding author. Email: ZXG823@student.bham.ac.uk
Corresponding Author
Zeyang Guo
Available Online 15 December 2021.
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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Volume Title
Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
15 December 2021
ISBN
10.2991/assehr.k.211209.289
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.289How to use a DOI?
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.

Cite this article

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  -