Research Article
An Empirical Study of Improved Fama-French Five Factor Model Based on Stata in China's Pharmaceutical Manufacturing Industry under Big Data
@INPROCEEDINGS{10.4108/eai.19-5-2023.2334285, author={Yan Zhang and Xinshuang Ma}, title={An Empirical Study of Improved Fama-French Five Factor Model Based on Stata in China's Pharmaceutical Manufacturing Industry under Big Data}, proceedings={Proceedings of the 2nd International Conference on Bigdata Blockchain and Economy Management, ICBBEM 2023, May 19--21, 2023, Hangzhou, China}, publisher={EAI}, proceedings_a={ICBBEM}, year={2023}, month={7}, keywords={big data fama-french five-factor model pharmaceutical manufacturing investor sentiment linear regression}, doi={10.4108/eai.19-5-2023.2334285} }- Yan Zhang
Xinshuang Ma
Year: 2023
An Empirical Study of Improved Fama-French Five Factor Model Based on Stata in China's Pharmaceutical Manufacturing Industry under Big Data
ICBBEM
EAI
DOI: 10.4108/eai.19-5-2023.2334285
Abstract
Since the occurrence of the new crown epidemic, all industries in China have received a huge impact, which has also continuously stimulated the rapid development of China's pharmaceutical manufacturing industry, in the context of the big data era this paper selected 110 pharmaceutical manufacturing companies in China, a total of 72 monthly data from 2015 to December 2021, and empirical analysis through the Fama-French five-factor model to study the excess return of impact factors. Then, a six-factor model is constructed by adding the sentiment factor to the Fama-French five-factor model and conducting regression tests to observe the effect of sentiment factor on the excess return of pharmaceutical manufacturing stocks, and the empirical process is implemented by Stata analysis software as well as Spss analysis software.
