Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)

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Examination of U.S. Finance-Related Industry Under COVID-19 Based on Fama-French model

Authors
Yuhan Cai1, †, Yue Shen2, †, Ting Wang3, †, Tianning Xie4, *, †
1Business school, University of Nottingham, Nottingham NG8 1BB, United Kingdom
2Department of Mathematical Science, University of Liverpool, Liverpool L69 3BX, United Kingdom
3School of Business Administration/School of Marxism, China University of Petroleum, Beijing, Karamay 834000, China
4Department of Statistics, London School of Economics and Political Science, London WC2A 2AE, United Kingdom
†

These authors contributed equally.

*Corresponding author. Email: t.xie10@lse.ac.uk
Corresponding Author
Tianning Xie
Available Online 15 December 2021.
DOI
10.2991/assehr.k.211209.192How to use a DOI?
Keywords
Fama-French five-factor model; Finance-related industry; COVID-19; U.S. stock market
Abstract

COVID-19 has had a tremendous influence on economic activity throughout the world. As the largest economy globally, the United States’ finance-related industry changes have an essential impact on the world economy. The purpose of this paper is to evaluate the relative changes of each factor in the Fama-French five-factor model in the U.S. finance-related industry before (May 2019 to February 2020) and after (March 2020 to December 2020) the pandemic and test the applicability of this model. The Fama-French five-factor model, developed from the Fama-French three-factor model, considers the effects of systematic risk, book-to-market ratio, market capitalization factor, earnings factor, and investment factor on fund performance. It also provides a more comprehensive assessment of fund performance and a more effective measure of a fund’s ability to achieve excess returns through active investment management. The results indicate that four sectors of Banking, Trading, Insurance, and Real Estate in the finance-related industry are sensitive and volatile to the COVID-19 crisis. Fama-French five factors of these sectors have reacted responsively to the outbreak. Especially for the Insurance and Real Estate, Robust minus Weak (RMW), High minus Low (HML), and Conservative minus Aggressive (CMA) have significant changes. In this paper, the performances of these four industries under the pandemic were discussed, and the reasons for the different reactions were analyzed. It is concluded that the COVID-19 outbreak has a particular impact on all finance-related industries, but the forms and degrees of effects are different in each sector.

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.

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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.211209.192
ISSN
2352-5428
DOI
10.2991/assehr.k.211209.192How to use a DOI?
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

risenwbib
TY  - CONF
AU  - Yuhan Cai
AU  - Yue Shen
AU  - Ting Wang
AU  - Tianning Xie
PY  - 2021
DA  - 2021/12/15
TI  - Examination of U.S. Finance-Related Industry Under COVID-19 Based on Fama-French model
BT  - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021)
PB  - Atlantis Press
SP  - 1191
EP  - 1198
SN  - 2352-5428
UR  - https://doi.org/10.2991/assehr.k.211209.192
DO  - 10.2991/assehr.k.211209.192
ID  - Cai2021
ER  -