Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)

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Tests of the Fama-French five-factor model in the US stock market under the COVID-19 pandemic

Authors
Meng Gao1, *
1Faculty of Sicence and Technology, Beijing Normal University - Hong Kong Baptist University United International College, Zhuhai, Guangdong, 519000, China
*Corresponding author. Email: q030018013@mail.uic.edu.cn
Corresponding Author
Meng Gao
Available Online 10 October 2023.
DOI
10.2991/978-94-6463-268-2_26How to use a DOI?
Keywords
Multiple linear regression analysis; Fama-french five-factor model; American stock market; COVID-19
Abstract

At the end of 2019, the COVID-19 spread widely around the world, leading to a global economic recession. The data for this article is taken from a database created by Kenneth R. French. Given that the COVID-19 pandemic was widespread in the United States in March 2020 and remained stable through February 2023. In this paper, multiple linear regression method is adopted to conduct empirical analysis and test on the Fama-French five-factor model, and explore the explanatory strength of the five-factor model on the US stock market before and after the epidemic. The results showed that the volatility and average return of the market increased significantly after the epidemic. The epidemic enhanced the market value effect, and also enhanced the explanatory power of the profit factor and investment style factor.

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 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
10 October 2023
ISBN
10.2991/978-94-6463-268-2_26
ISSN
2352-5428
DOI
10.2991/978-94-6463-268-2_26How 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  - Meng Gao
PY  - 2023
DA  - 2023/10/10
TI  - Tests of the Fama-French five-factor model in the US stock market under the COVID-19 pandemic
BT  - Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)
PB  - Atlantis Press
SP  - 221
EP  - 226
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-268-2_26
DO  - 10.2991/978-94-6463-268-2_26
ID  - Gao2023
ER  -