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Evaluation of CAPM and Three-factor Model During the COVID-19: Evidence from Chinese Catering Industry

In: Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023)

Author

Listed:
  • Tongyu Ren

    (North Minzu University)

  • Heng Wang

    (Dalian University of Technology)

  • Yixuan Zhang

    (Wenzhou-Kean University)

Abstract

In 2019, the COVID-19 pandemic emerged in China and rapidly disseminated worldwide, causing a greater-than-expected impact on the global economy. Most countries’ stock markets were not optimistic, and stocks from different industries have elicited varying social reactions. The paper selects the stocks of 12 hotel and catering industry companies from 2019 to 2022 as research objects to explore the fluctuations experienced by the hotel and catering industry’s stock market during the epidemic. The aim is to test the explanatory and predictive capabilities of the CAPM and the Fama-French-Three-Factor (FF3F) Model on the returns and excess returns of the hotel and catering industry’s stock, and further compare the performances of the two models. The research findings indicate that the Three-Factor Model surpasses the CAPM model in both explanatory and predictive capabilities. These results shed light on the guiding significance of these two models for listed companies in the catering industry to carry out market value management or for investors in choosing investment projects.

Suggested Citation

  • Tongyu Ren & Heng Wang & Yixuan Zhang, 2024. "Evaluation of CAPM and Three-factor Model During the COVID-19: Evidence from Chinese Catering Industry," Advances in Economics, Business and Management Research, in: Faruk Balli & Hui Nee Au Yong & Sikandar Ali Qalati & Ziqiang Zeng (ed.), Proceedings of the 2023 2nd International Conference on Economics, Smart Finance and Contemporary Trade (ESFCT 2023), pages 70-77, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-268-2_10
    DOI: 10.2991/978-94-6463-268-2_10
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