Analysis of U.S. Banking Industry Based on Fama-French Model Under COVID-19

DOI

10.2991/978-94-6463-142-5_11How to use a DOI?

Keywords

Fama-French Model; COVID-19; U.S. Banking Industry; COVID-19 Vaccines; Variants

Abstract

The global epidemic of the COVID-19 has further aggravated the imbalance of the world’s economic order, and the global economic recession is inevitable. The purpose of this research is to test the performance of factors and the applicability of Fama-French Factor model for the banking industry during the epidemic. The data is used from Kenneth R. French-Data Library to conduct Multiple Linear Regression based on Fama-French 3 Factor model and Fama-French 5 Factor model. The timeline consists of 3 stages, using the outbreak of COVID-19 and the availability of COVID-19 vaccines as time point. The result shows that Fama-French Five Factor Model can better explain the performance of the industry, and all of the factors have an impact during the epidemic.

Copyright

© 2023 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Xiaoling Wu
PY  - 2023
DA  - 2023/05/15
TI  - Analysis of U.S. Banking Industry Based on Fama-French Model Under COVID-19
BT  - Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)
PB  - Atlantis Press
SP  - 97
EP  - 104
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-142-5_11
DO  - 10.2991/978-94-6463-142-5_11
ID  - Wu2023
ER  -