The examination of Fama-French Model during the Covid-19

Dominik Horváth and Yung-Lin Wang

Finance Research Letters, 2021, vol. 41, issue C

Abstract: This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R2 of the models. We find that the influence of Dotcom bubble to the R2 of growth model is statistically significant. The R2 of growth portfolios decreases rapidly during the Financial crisis of 2008. The latest Covid-19 outbreak drop has led to a substantial in the R2 during this event. Furthermore, we find that all of the beta model parameters are insignificant in the GMM model.

Keywords: International asset pricing; Multifactor models; Dividend discount model (search for similar items in EconPapers)
JEL-codes: G1 G11 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316627

DOI: 10.1016/j.frl.2020.101848

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