Analysis of U.S. Banking Industry Based on Fama-French Model Under COVID-19

Xiaoling Wu ()
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Xiaoling Wu: Washington University in St. Louis, Olin Business School

A chapter in Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023), 2023, pp 97-104 from Springer

Abstract: Abstract The global epidemic of the COVID-19 has further aggravated the imbalance of the world’s economic order, and the global economic recession is inevitable. The purpose of this research is to test the performance of factors and the applicability of Fama-French Factor model for the banking industry during the epidemic. The data is used from Kenneth R. French-Data Library to conduct Multiple Linear Regression based on Fama-French 3 Factor model and Fama-French 5 Factor model. The timeline consists of 3 stages, using the outbreak of COVID-19 and the availability of COVID-19 vaccines as time point. The result shows that Fama-French Five Factor Model can better explain the performance of the industry, and all of the factors have an impact during the epidemic.

Keywords: Fama-French Model; COVID-19; U.S. Banking Industry; COVID-19 Vaccines; Variants (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-142-5_11

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DOI: 10.2991/978-94-6463-142-5_11

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