The Impact of COVID-19 on the Fama-French Five-Factor Model: Unmasking Industry Dynamics

The Impact of COVID-19 on the Fama-French Five-Factor Model: Unmasking Industry Dynamics

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...

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Bibliographic Details
Main Authors: Niall O’Donnell, Darren Shannon, Barry Sheehan, Badar Nadeem Ashraf
Format: Article
Language:English
Published: MDPI AG 2024-10-01
Series:International Journal of Financial Studies
Subjects:
COVID-19
investor preferences
equities
Fama–French
risk factors
crises
Online Access:https://www.mdpi.com/2227-7072/12/4/98
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