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The examination of Fama-French Model during the Covid-19

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  • Horváth, Dominik
  • Wang, Yung-Lin

Abstract

This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R2 of the models. We find that the influence of Dotcom bubble to the R2 of growth model is statistically significant. The R2 of growth portfolios decreases rapidly during the Financial crisis of 2008. The latest Covid-19 outbreak drop has led to a substantial in the R2 during this event. Furthermore, we find that all of the beta model parameters are insignificant in the GMM model.

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  • Horváth, Dominik & Wang, Yung-Lin, 2021. "The examination of Fama-French Model during the Covid-19," Finance Research Letters, Elsevier, vol. 41(C).
    • Handle: RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316627
    DOI: 10.1016/j.frl.2020.101848
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    References listed on IDEAS

    as
    1. Fama, Eugene F. & French, Kenneth R., 2017. "International tests of a five-factor asset pricing model," Journal of Financial Economics, Elsevier, vol. 123(3), pages 441-463.
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    12. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
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    Cited by:

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    2. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.

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    More about this item

    Keywords

    International asset pricing; Multifactor models; Dividend discount model;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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