Examination of U.S. Finance-Related Industry Under COVID-19 Based on Fama-French model
These authors contributed equally.
- 10.2991/assehr.k.211209.192How to use a DOI?
- Fama-French five-factor model; Finance-related industry; COVID-19; U.S. stock market
COVID-19 has had a tremendous influence on economic activity throughout the world. As the largest economy globally, the United States’ finance-related industry changes have an essential impact on the world economy. The purpose of this paper is to evaluate the relative changes of each factor in the Fama-French five-factor model in the U.S. finance-related industry before (May 2019 to February 2020) and after (March 2020 to December 2020) the pandemic and test the applicability of this model. The Fama-French five-factor model, developed from the Fama-French three-factor model, considers the effects of systematic risk, book-to-market ratio, market capitalization factor, earnings factor, and investment factor on fund performance. It also provides a more comprehensive assessment of fund performance and a more effective measure of a fund’s ability to achieve excess returns through active investment management. The results indicate that four sectors of Banking, Trading, Insurance, and Real Estate in the finance-related industry are sensitive and volatile to the COVID-19 crisis. Fama-French five factors of these sectors have reacted responsively to the outbreak. Especially for the Insurance and Real Estate, Robust minus Weak (RMW), High minus Low (HML), and Conservative minus Aggressive (CMA) have significant changes. In this paper, the performances of these four industries under the pandemic were discussed, and the reasons for the different reactions were analyzed. It is concluded that the COVID-19 outbreak has a particular impact on all finance-related industries, but the forms and degrees of effects are different in each sector.
- © 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 - Yuhan Cai AU - Yue Shen AU - Ting Wang AU - Tianning Xie PY - 2021 DA - 2021/12/15 TI - Examination of U.S. Finance-Related Industry Under COVID-19 Based on Fama-French model BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1191 EP - 1198 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.192 DO - 10.2991/assehr.k.211209.192 ID - Cai2021 ER -