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

Yang Cao; Baozhen Ouyang; Mingji Xi; Runze Yu

doi:10.2991/assehr.k.211209.514

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

Authors

Yang Cao¹^{, †}, Baozhen Ouyang²^{, †}, Mingji Xi³^{, *}^{, †}, Runze Yu⁴^{, †}

¹South Kensington Campus, Imperial College London, London SW7 2AZ, Great Britain

²Faculty of Social Sciences, The University of Sheffield, Sheffield S10 2TN, Great Britain

³Business School, The Chinese University of Hong Kong, Hong Kong 999077, China

⁴School of Finance, Zhejiang Gongshang University, Hangzhou 310018, China

^†

These authors contributed equally.

^*Corresponding author. Email: Email:1906070424@pop.zjgsu.edu.cn

Corresponding Author

Mingji Xi

Available Online 15 December 2021.

DOI: 10.2991/assehr.k.211209.514 How to use a DOI?
Keywords: Fama-French Model; Covid-19; Consumption-related industry; U.S. stock market
Abstract: Many researchers have contributed much to asset pricing theory and continuously try to find the best model to capture stock average return. The CAPM model and Fama-French 3-factor model, Fama-French 5-factor model is another way to capture the return rates and their changes. At the beginning of 2020, COVID-19 spread all over the world, which influenced the U.S. stock market a lot. Therefore, this paper tends to test the performances of Fama-French 5 factors models on consumption-related industry in U.S stock market before and after the outbreak of COVID-19 with multiple linear regression and examine the reasons. The results show that Fama-French 5-factor model captures the return of stocks in the U.S. stock market. As for specific factors, Market risk (MKT) shows significance both before and after COVID-19, and the power of explanation becomes stronger, that means this factor affects the return of stocks in the U.S. stock market a lot. Small minus big (SMB) varies a lot during the pandemic, it becomes insignificant after the epidemic and its negative coefficient indicates the excess return was due to a large size company. Due to COVID-19, High minus Low (HML) began to play a positive role in soda and smoke market. For five-factor model, Robust Minus Weak (RMW) changed its position and became weaker. The position of Conservative Minus Aggressive (CMA) remained unchanged. After the outbreak, CMA became less significant.
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.211209.514
ISSN: 2352-5428
DOI: 10.2991/assehr.k.211209.514 How to use a DOI?
Open Access: This is an open access article under the CC BY-NC license.

Cite this article

ris enw bib

TY  - CONF
AU  - Yang Cao
AU  - Baozhen Ouyang
AU  - Mingji Xi
AU  - Runze Yu
PY  - 2021
DA  - 2021/12/15
TI  - Analysis of U.S. Consumption-related Industry Based on Fama-French Model Under COVID-19
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 3139
EP  - 3144
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.514
DO  - 10.2991/assehr.k.211209.514
ID  - Cao2021
ER  -

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