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

Dominik Horváth; Yung-Lin Wang

doi:10.1016/j.frl.2020.101848

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

Financ Res Lett. 2021 Jul:41:101848. doi: 10.1016/j.frl.2020.101848. Epub 2020 Nov 12.

Authors

Dominik Horváth¹, Yung-Lin Wang¹

Affiliation

¹ Nottingham Business School Nottingham Trent University.

Abstract

This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R ² of the models. We find that the influence of Dotcom bubble to the R ² of growth model is statistically significant. The R ² of growth portfolios decreases rapidly during the Financial crisis of 2008. The latest Covid-19 outbreak drop has led to a substantial in the R ² during this event. Furthermore, we find that all of the beta model parameters are insignificant in the GMM model.

Keywords: Dividend discount model; International asset pricing; Multifactor models.