Impact of COVID-19 on Service-related Industries of U.S. Market Based on Fama-French Five-Factor Model
These authors contributed equally.
- 10.2991/assehr.k.211209.177How to use a DOI?
- Fama-French Five-Factor Model; COVID-19; Service-related industry; Regression
Asset pricing theory is essential in finance, and many scholars have contributed to establishing the best model to measure the price of assets. COVID-19, which is a worldwide health crisis, continuously destroys the global economy. This paper aims to apply the Fama-French Five-Factor Model to evaluate the stock performances in a portfolio of service industries (utilities, communication, personal service, business service) before and after COVID-19, using data derived from U.S. stock markets. The results indicate that market risk (MKT) is always the most significant factor contributing to the stock return before and after the pandemic. In all industries except business service, High minus Low (HML) has changed from insignificant to significant with coefficient increasing, which means that the stock return is positively associated with HML. Besides, Small minus Big (SMB) in the utility industry has turned from significant into insignificant with a negative coefficient, revealing that investors start to prefer small companies. Furthermore, in both personal and business service industries, Robust minus Weak (RMW) and Conservative minus Aggressive (CMA) have changed from insignificant to significant, indicating that the profitability and aggressive strategies have become to play an essential role in the stock return. The conclusion draws that in most cases, companies with a high Book-to-Market ratio perform better after the epidemic, and the negative CMA coefficient means that most companies make aggressive investments. In the personal services industry, investors should focus on companies with high profitability and vice versa in the business services industry.
- © 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 - Siqing Chen AU - Zixin Chen AU - Zhengyuan He AU - Qi Sun PY - 2021 DA - 2021/12/15 TI - Impact of COVID-19 on Service-related Industries of U.S. Market Based on Fama-French Five-Factor Model BT - Proceedings of the 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021) PB - Atlantis Press SP - 1088 EP - 1094 SN - 2352-5428 UR - https://doi.org/10.2991/assehr.k.211209.177 DO - 10.2991/assehr.k.211209.177 ID - Chen2021 ER -