An Empirical Investigation of the Fama-French Five-factor Model in North America before and during COVID-19

Abstract

This study takes an investigation in the North American financial market before and dur-ing the epidemic using a five-factor model to compare the performance of the regression models and the significance of the factors before and during the epidemic and to analyze the changes in the North American financial market before and after the epidemic. The study selects representative companies in each sector from the top ten companies in the North American financial market. It performs regressions on each company before and af-ter the epidemic to compare the differences in the significance of the factors and the rea-sons for the differences between the companies in different sectors.