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

In: Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023)

Author

Listed:
  • Yin Yu

    (Zhongyuan Bank Co. Ltd)

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.

Suggested Citation

  • Yin Yu, 2024. "Analysis of Financial-related Industry During COVID-19 Based on the Fama-French Five Factor Model," Advances in Economics, Business and Management Research, in: Peng Dou & Keying Zhang (ed.), Proceedings of the 2023 International Conference on Economic Management, Financial Innovation and Public Service (EMFIPS 2023), pages 658-671, Springer.
    • Handle: RePEc:spr:advbcp:978-94-6463-441-9_56
    DOI: 10.2991/978-94-6463-441-9_56
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