Research on the Impact of Pandemic on U.S. Wholesale and Retail Industries Based on Fama-French Five Factor Model

Mengqi Qiao ()
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Mengqi Qiao: University of Melbourne, Faculty of Science

A chapter in Proceedings of the 2022 International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2022), 2022, pp 1404-1412 from Springer

Abstract: Abstract The COVID-19 pandemic is wreaking havoc on the global economy and people’s lives, especially in the wholesale and retail sectors, which are closely related to people’s basic needs. This paper will discuss the impact and changes of COVID-19 on wholesale and retail industry based on the Fama-French five-factor model. The founders of the Fama-French model built Kenneth R. French’s Web database based on data obtained from the relevant information of the U.S. stock market, which is the source of the experimental data in this paper. By extracting the data of 49 industry portfolios collected daily, the wholesale and retail industry data from 2018.01.25 to 2022.03.31 were obtained, and the average data of “Pre-epidemic” and “In-epidemic” groups were compared. Through multiple linear regression coefficients are obtained. The results show that the COVID-19 outbreak did have a negative impact on the wholesale and retail sectors but not overwhelmingly. HML and SMB are redundancy factors in wholesale and retail industries respectively, while CMA has changed from an effective factor to a redundancy factor.

Keywords: Fama-French Model; Covid-19; Wholesale Industry; Retail Industry; U.S. Stock Market (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-052-7_156

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DOI: 10.2991/978-94-6463-052-7_156

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