TY - JOUR
T1 - The Impact of COVID-19 on the Fama-French Five-Factor Model: Unmasking Industry Dynamics
AU - O’Donnell , Niall
AU - Shannon, Darren
AU - Sheehan, Barry
AU - Ashraf, Badar
PY - 2024/10/3
Y1 - 2024/10/3
N2 - This analysis investigates the performance and underlying dynamics of the Fama–French Five-Factor Model (FF5M) in the context of the COVID-19 pandemic, exploring its implications on the U.S. stock market across 30 industries. Our findings reveal marked shifts in the significance of factors. The SMB (size) gained in strength, while the HML (value) factor rose and fell in response to shifting flight-to-quality, liquidity, and inflation concerns. Both the RMW (profitability) and CMA (investment) factors saw a decline in their overall significance during the pandemic. Our results illustrate the oscillation of investor preferences from 2018 to 2023, capturing three distinct periods: pre-COVID-19, COVID-19, and post-COVID-19.
AB - This analysis investigates the performance and underlying dynamics of the Fama–French Five-Factor Model (FF5M) in the context of the COVID-19 pandemic, exploring its implications on the U.S. stock market across 30 industries. Our findings reveal marked shifts in the significance of factors. The SMB (size) gained in strength, while the HML (value) factor rose and fell in response to shifting flight-to-quality, liquidity, and inflation concerns. Both the RMW (profitability) and CMA (investment) factors saw a decline in their overall significance during the pandemic. Our results illustrate the oscillation of investor preferences from 2018 to 2023, capturing three distinct periods: pre-COVID-19, COVID-19, and post-COVID-19.
UR - https://www.mdpi.com/2227-7072/12/4/98
U2 - 10.3390/ijfs12040098
DO - 10.3390/ijfs12040098
M3 - Article
SN - 2227-7072
VL - 12
JO - International Journal of Financial Studies
JF - International Journal of Financial Studies
IS - 4
M1 - 98
ER -