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

An Empirical Test of CAPM before and After the Pandemic Outbreak

The Case of American Stock Market

Authors
Chenyu Xiao1, *
1Social science school, University of Southampton, Southampton, SO17 1BJ, United Kingdom.
*Corresponding author. Email: guanghua.ren@gecacademy.cn
Corresponding Author
Chenyu Xiao
Available Online 26 March 2022.
DOI
10.2991/aebmr.k.220307.401How to use a DOI?
Keywords
Capital asset pricing model; American stock market; Portfolio returns
Abstract

In the context of the COVID-19 pandemic, the validity of the Capital Asset Pricing Model (CAPM) in the U.S. stock market before and after the COVID-19 pandemic outbreak is tested, aiming to help investors have a deeper understanding of the relationship between risk and return in the stock market when large-scale social disasters occur. The sample includes daily data for 49 U.S. industry portfolios over 36 months from September 2018 to August 2021, with a total of 754 observations. Through linear regression analysis, the author concludes that the timely implementation of quantitative easing and interest rate cut by the U.S. government played a role in stimulating the economy after the outbreak of the epidemic. Except for the gold portfolio, the other 48 sectors all demonstrated the validity of CAPM before and after the outbreak, and the validity increased after the outbreak. In addition, the post-outbreak U.S. stock market has been in a high-risk, high-return state for a long time. This research is helpful to the development of the topic and the construction of a specific knowledge network and provides references for future scholars to study related topics.

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.220307.401How 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

TY  - CONF
AU  - Chenyu Xiao
PY  - 2022
DA  - 2022/03/26
TI  - An Empirical Test of CAPM before and After the Pandemic Outbreak
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 2449
EP  - 2457
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.401
DO  - 10.2991/aebmr.k.220307.401
ID  - Xiao2022
ER  -