Research Article
The Impact Analysis of COVID-19 on Transportation Industry in Terms of Fama-French Five-Factor Model
@INPROCEEDINGS{10.4108/eai.28-10-2022.2328419, author={Yilin Guo and Shengying Li and Haobo Xi}, title={The Impact Analysis of COVID-19 on Transportation Industry in Terms of Fama-French Five-Factor Model}, proceedings={Proceedings of the International Conference on Financial Innovation, FinTech and Information Technology, FFIT 2022, October 28-30, 2022, Shenzhen, China}, publisher={EAI}, proceedings_a={FFIT}, year={2023}, month={4}, keywords={fama-french model; covid-19; transportation industry}, doi={10.4108/eai.28-10-2022.2328419} }- Yilin Guo
Shengying Li
Haobo Xi
Year: 2023
The Impact Analysis of COVID-19 on Transportation Industry in Terms of Fama-French Five-Factor Model
FFIT
EAI
DOI: 10.4108/eai.28-10-2022.2328419
Abstract
Whether the average return of stocks can be predicted has always been the focus of academic attention. Under the framework of market efficiency hypothesis, the pricing model is constantly improved and refined. Among various pricing approaches, Fama-French Five-Factor Model (FF5) exhibits well performance in predicting average stock returns and asset pricing. In 2020, COVID-19 is spreading rapidly around the world, with high rates of infection making it one of the most serious viruses of the 20th century. At the same time, it also affects related industries and stock markets in the United States. Based on FF5, this research empirically investigates the variation of transportation industry in the US under the impact of COVID-19 in terms of regression. According to the analysis, the model has strengthened the explanation of the sector after the epidemic, and the epidemic has not significantly affected the U.S. transportation sector. According to the analysis, the significance and style of the Fama-French model factors changed significantly, with the transportation sector being more insensitive to the market, while stocks in the sector remained somewhat speculative. Overall, this paper comprehensively evaluates fund performance and more effectively measures a fund's ability to generate excess returns through active investment management. The obtained results are helpful for stock price predicting, and can provide guidance and ideas for corporate investment.