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

Impact of COVID-19 on Service-related Industries of U.S. Market Based on Fama-French Five-Factor Model

Authors
Siqing Chen1, , Zixin Chen2, , Zhengyuan He3, , Qi Sun4, , *
1College of Economics and Management, South China Agricultural University, Guangzhou 510630, China
2School of Accounting, Tianjin University of Commerce, Tianjin 300134, China
3School of Mathematics, University of Manchester, Manchester M13 9PL, United Kingdom
4Bachelor of Arts, University of Alberta, Edmonton T6G 2R3, Canada

These authors contributed equally.

*Corresponding author. Email: 4qs3@ualberta.ca
Corresponding Author
Qi Sun
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.177How to use a DOI?
Keywords
Fama-French Five-Factor Model; COVID-19; Service-related industry; Regression
Abstract

Asset pricing theory is essential in finance, and many scholars have contributed to establishing the best model to measure the price of assets. COVID-19, which is a worldwide health crisis, continuously destroys the global economy. This paper aims to apply the Fama-French Five-Factor Model to evaluate the stock performances in a portfolio of service industries (utilities, communication, personal service, business service) before and after COVID-19, using data derived from U.S. stock markets. The results indicate that market risk (MKT) is always the most significant factor contributing to the stock return before and after the pandemic. In all industries except business service, High minus Low (HML) has changed from insignificant to significant with coefficient increasing, which means that the stock return is positively associated with HML. Besides, Small minus Big (SMB) in the utility industry has turned from significant into insignificant with a negative coefficient, revealing that investors start to prefer small companies. Furthermore, in both personal and business service industries, Robust minus Weak (RMW) and Conservative minus Aggressive (CMA) have changed from insignificant to significant, indicating that the profitability and aggressive strategies have become to play an essential role in the stock return. The conclusion draws that in most cases, companies with a high Book-to-Market ratio perform better after the epidemic, and the negative CMA coefficient means that most companies make aggressive investments. In the personal services industry, investors should focus on companies with high profitability and vice versa in the business services industry.

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.211209.177
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.177How 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  - Siqing Chen
AU  - Zixin Chen
AU  - Zhengyuan He
AU  - Qi Sun
PY  - 2021
DA  - 2021/12/15
TI  - Impact of COVID-19 on Service-related Industries of U.S. Market 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  - 1088
EP  - 1094
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.177
DO  - 10.2991/assehr.k.211209.177
ID  - Chen2021
ER  -