Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

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Study on the Applicability of the Fama-French Three-factor Model and Five-factor Model to the American Biopharmaceutical Industry during the COVID-19 Period

Authors
Zipei Wang1, *
1Southampton Business School, University of Southampton, Southampton, SO16 3UF, the United Kingdom
*Corresponding author. Email: zipei_wang@outlook.com
Corresponding Author
Zipei Wang
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.093How to use a DOI?
Keywords
American biopharmaceutical industry; Fama-French three-factor model; Fama-French five-factor model; multiple regression analysis
Abstract

At the end of 2019, a huge black swan, COVID-19, came and erupted in 2020. Both our daily life and investment activities are more or less affected by COVID-19, which is a new opportunity and challenge for the biopharmaceutical industry. In order to analyse the current situation of the American biopharmaceutical industry during the COVID-19 period and promote the development of the financial market, the author studied three biopharmaceutical industry funds, selected the data from January 2020 to September 2021, and introduced the three-factor model and the five-factor model to carry out multiple regression analysis. The results show that during the sample period, both the three-factor model and the five-factor model have strong applicability to the stocks of the American biopharmaceutical industry, which means that all five factors have a strong ability to explain the changes in stock returns of this industry. In addition, the five-factor model has a higher positive correlation and fitting degree for the three funds.

Copyright
© 2022 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 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.093How to use a DOI?
Copyright
© 2022 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  - Zipei Wang
PY  - 2022
DA  - 2022/03/26
TI  - Study on the Applicability of the Fama-French Three-factor Model and Five-factor Model to the American Biopharmaceutical Industry during the COVID-19 Period
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 576
EP  - 580
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.093
DO  - 10.2991/aebmr.k.220307.093
ID  - Wang2022
ER  -