Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)

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An Empirical Study on the Industry-Specific Impact of Covid-19 on U.S. Stock Market—Based on the Fama-French Five Factor Model

Authors
Kezhen Li1, *
1University College London, London, WC1E 6BT, United Kingdom
*Corresponding author. Email: zceikl2@ucl.ac.uk
Corresponding Author
Kezhen Li
Available Online 24 February 2025.
DOI
10.2991/978-94-6463-652-9_25How to use a DOI?
Keywords
Covid-19; Fama-French Five Factor Model; Paper industry; CMA
Abstract

This paper investigates the impacts of the COVID-19 pandemic on diverse sectors within the U.S. stock market, utilizing the Fama-French five-factor model as the analytical framework. The explanatory power of the model under extreme market conditions is assessed by analyzing stock returns for 49 industries before, during and after the pandemic. The paper focuses on the differential performance of the paper and biotechnology industries in response to the pandemic shock, revealing some key anomalies and patterns in stock performance. The results show that while the returns of most industries are largely explained by the model, the paper industry exhibits unusual volatility during the pandemic, mainly due to the accelerating trend of digitization and changes in consumer behavior. In addition, the CMA (Conservative Minus Aggressive) factor became increasingly significant during the pandemic, especially for high capital investment biotech companies that experienced lower returns due to high investment and low success rates. These findings highlight the limitations of traditional asset pricing models in explaining the complexity of industry dynamics during global outbreaks and can serve as a reference for investors the next time they encounter a similar black swan event.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)
Series
Advances in Economics, Business and Management Research
Publication Date
24 February 2025
ISBN
978-94-6463-652-9
ISSN
2352-5428
DOI
10.2991/978-94-6463-652-9_25How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Kezhen Li
PY  - 2025
DA  - 2025/02/24
TI  - An Empirical Study on the Industry-Specific Impact of Covid-19 on U.S. Stock Market—Based on the Fama-French Five Factor Model
BT  - Proceedings of the International Workshop on Navigating the Digital Business Frontier for Sustainable Financial Innovation (ICDEBA 2024)
PB  - Atlantis Press
SP  - 240
EP  - 251
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-652-9_25
DO  - 10.2991/978-94-6463-652-9_25
ID  - Li2025
ER  -