Analysis of Fore and Aft Covid-19 Impact on Industry Data Based on Fama-French Five Factors
Download as PDF
This paper examines performance of Fama-French five-factor model in US market before and after Covid-19 outbreak. The research purpose is to validate the efficiency of the model in the pandemic period, study if there’re unexplained factors, and if Fama-French factors beta changes due to the pandemic impact. OLS method is applied to 49 Fama-French industry portfolios, and this paper finds that the efficiency of Fama-French five-factor model strengthened after the outbreak in all industries, while unexplained factor behavior increased. The pandemic brings significantly change to Fama-French factors beta of most of industries respectively, and has strong impact on portfolio performance and factor exposures.
Fama-french five-factor model, Industrial analysis, Asset pricing, Covid-19