Research Article
Impacts of Covid-19 on U.S. Financial-related Industries Based on Fama-French Five-factor Model
@INPROCEEDINGS{10.4108/eai.18-11-2022.2326900, author={Jingwen Li and Zhouyang Lyu and Xiaoguo Wang}, title={Impacts of Covid-19 on U.S. Financial-related Industries Based on Fama-French Five-factor Model}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={fama-french five-factor model; covid-19; financial industry; us stock market}, doi={10.4108/eai.18-11-2022.2326900} }- Jingwen Li
Zhouyang Lyu
Xiaoguo Wang
Year: 2023
Impacts of Covid-19 on U.S. Financial-related Industries Based on Fama-French Five-factor Model
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2326900
Abstract
As a global pandemic, Covid-19 has brought significant impacts on various sectors. The emphasis of this paper lies in its influence on the four financial-related industries of banking, insurance, real estate, and trading under the U.S. stock market. Based on the Fama-French five-factor model, multiple linear regression was conducted on daily portfolio returns with periods of both before and after the outbreak of Covid-19, and coefficients of the five factors were obtained to be evaluated and compared. The results indicate that the banking industry was less affected since fewer changes occurred in terms of its p-value. All analyzed stocks had become relatively more aggressive and sensitive to market volatility. Value stocks with small market-scale and high book-to-market ratio can be regarded as more dominant under the circumstance of Covid-19, and speculative stocks are preferred over stocks from robust companies, especially in the trading industry.