Analysis of Financial-related Industry During COVID-19 Based on the Fama-French Five Factor Model

Yin Yu ()
Additional contact information
Yin Yu: Zhongyuan Bank Co. Ltd

A chapter in Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023), 2024, pp 658-671 from Springer

Abstract: Abstract COVID-19 has had a huge impact on the global economy, and financial markets in particular have been hit hard. Based on the Fama-French five-factor model and multiple linear regression theory, this paper investigates the differences in investment directions in the U.S. banking, insurance, and trading sectors before and after COVID-19. The data in this paper are selected from Kenneth R. french's web-based database. After comparing the linear regression results for the two periods before and after COVID-19, it is found that COVID-19 had the greatest impact on the U.S. insurance industry, followed by the banking industry, while the impact on the trading industry was relatively insignificant. The findings suggest that the insurance industry needs to pay more attention to value stock investments after COVID-19, the banking industry still prefers to invest in higher market capitalization and larger companies after COVID-19 but does not need to consider the impact of operating profit indicators on the correlation of investment returns, and the trading industry needs to maintain its pre-COVID-19 investment preferences for companies with higher market capitalization, larger size, higher book-to-market ratio, and lower values of operating profit indicators, which can yield higher returns.

Keywords: Fama-French Five Factor Model; Financial-related Industry; COVID-19 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-441-9_56

Ordering information: This item can be ordered from
http://www.springer.com/9789464634419

DOI: 10.2991/978-94-6463-441-9_56

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().