Analysis of U.S. Transportation Industry Based on Fama-French 5-Factor Model under COVID-19
- DOI
- 10.2991/assehr.k.211209.197How to use a DOI?
- Keywords
- COVID-19; Fama-French Model; Transportation Industry; U.S. stock market
- Abstract
The outbreak of the COVID-19 has had a great impact on the U.S. economy and society. A lot of researchers have applied Capital Asset Pricing to the analysis of stock markets. This paper aims to utilize Fama-French 5-Factor Model to reveal the changes of stocks and markets in the transportation industry in the U.S. before and after the COVID-19 and the possible reasons for these changes. Based on the data of transportation industry stocks from May 2019 to December 2020, the regression results show that the Autos industry is less sensitive than the whole market after the outbreak. The investment factor is not that obviously influential, with the profitability Autos industry decreasing significantly. For the Aero industry, the coefficients βSMB and βHML were redundant before the pandemic, while those after the pandemic turn to be significant. It means that after the COVID-19, small-cap stocks can receive higher returns, and the HML factor has begun to become significant in the Aero industry, which can better analyse the stock return. Besides, before the COVID-19, the coefficient βCMA of the Ships industry was redundant. Still, it becomes significant after the COVID-19, probably because the market was relatively scattered and fluctuates greatly before the outbreak of the epidemic. Therefore, CMA may not be a suitable factor for market measurement. Through comparisons and analysis, this article indicates the stock market changes in the transportation industry, and it can be of benefit to investors as well as the government when making decisions and formulating policies.
- 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 - Jiayi Hu PY - 2021 DA - 2021/12/15 TI - Analysis of U.S. Transportation Industry Based on Fama-French 5-Factor Model under COVID-19 BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1225 EP - 1229 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.197 DO - 10.2991/assehr.k.211209.197 ID - Hu2021 ER -