Analysis of U.S. Sector of Services with Fama-French 5-Factor Model During the Covid-19
These authors contributed equally.
- 10.2991/assehr.k.211209.465How to use a DOI?
- Fama-French 5-Factor Model; COVID-19; US stock market; service-related industry
Covid-19 is the most widespread and devastating pandemic since the 20th century, which profoundly impacted the industries and the stock market, especially the service-related industries and stocks in the U.S. This paper aims to study the epidemic’s impact on service-related industries in the U.S. and provide some quantitative indicators for investors to help them make investment decisions. Fama-French 5-Factor Model is adopted in this study to evaluate the factors that affect the stock price of the U.S. service sector, including Utilities, Communication, Personal Services, and Business Services. The data used for the analysis mainly comes from Kenneth R. French Data Library, which are the statistics of 5 factors and the daily return rate of the U.S. service sector from May 2019 to December 2020. Multiple Regression is adopted in this study to fit the model. The service-related industries’ unique nature makes it the object of impacts caused by COVID-19. Using the Fama-French five-factor model, t-statistics is adopted to determine the significance of the five factors. The results indicate that the Mkt-Rf factor is always significant, representing the portfolio’s risk premium. The HML factor of business service becomes significant after the epidemic when other service areas act oppositely to reduce the demands and business activities. In addition, due to the large market capitalization and scale effect of the Utility sector, the SMB factor maintains except Utility services turn out to be insignificant after the epidemic. Since most personal and business services depend on timely contact and many companies cannot follow this tendency, the RMW factor of Personal service and business service becomes significant after the epidemic when other two industries maintain. Also, the CMA factor acts in the same pattern as the RMW factor.
- © 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 - Yusen Feng AU - Tingjun Li AU - Ruoyu Zhao AU - Chennan Zhou PY - 2021 DA - 2021/12/15 TI - Analysis of U.S. Sector of Services with Fama-French 5-Factor Model During the Covid-19 BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 2862 EP - 2868 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.465 DO - 10.2991/assehr.k.211209.465 ID - Feng2021 ER -