Proceedings of the 2023 International Conference on Economic Management，Financial Innovation and Public Service (EMFIPS 2023)

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Exploring A New Factor Based on The Fama-French Model During COVID-19

Authors
Yuyong Sun1, *
1D’Amore-McKim School of Business, Northeastern University, Boston, 02115, USA
*Corresponding author. Email: sun.yuy@northeastern.edu
Corresponding Author
Yuyong Sun
Available Online 21 June 2024.
DOI
10.2991/978-94-6463-441-9_68How to use a DOI?
Keywords
Fama-French model; COVID-19; Trading industry; U.S. stock market
Abstract

COVID-19 has had a huge impact on all industries in the world. Change brings risks but also opportunities. During the pandemic, the Fama-French five-factor model may not be suitable for some industries. This paper tries to explore the explanatory power of the five-factor model and introduce the influencing factors of COVID-19 to improve the model. The article begins with a multiple linear regression for 49 industries using the five-factor model. Then the growth rate of COVID-19 confirmed cases is added as the new factor in six industries where the five-factor model is weak to explain the excess return. The financial trading industry performs best after adding the new factor and there are some interesting results. The results indicate there is a positive correlation between the pandemic and the excess return of the trading industry. Then this article discusses insignificant factors in regression results and the positive coefficient of the proposed factor for the trading industry. Particularly, similar results may occur in the future when encountering significant events similar to COVID-19, which are useful for the trading industry and other decision-makers.

Copyright
© 2024 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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Volume Title
Proceedings of the 2023 International Conference on Economic Management，Financial Innovation and Public Service (EMFIPS 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
21 June 2024
ISBN
10.2991/978-94-6463-441-9_68
ISSN
2352-5428
DOI
10.2991/978-94-6463-441-9_68How to use a DOI?
Copyright
© 2024 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.

Cite this article

risenwbib
TY  - CONF
AU  - Yuyong Sun
PY  - 2024
DA  - 2024/06/21
TI  - Exploring A New Factor Based on The Fama-French Model During COVID-19
BT  - Proceedings of the 2023 International Conference on Economic Management，Financial Innovation and Public Service (EMFIPS 2023)
PB  - Atlantis Press
SP  - 801
EP  - 813
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-441-9_68
DO  - 10.2991/978-94-6463-441-9_68
ID  - Sun2024
ER  -