Analysis of the COVID-19 Pandemic on FAAMG Companies Performances Under the Fama-French Five-Factor Model

Abstract

The COVID-19 pandemic has led the U.S. stock market to tumble during the last two years. To further discover the effect of the pandemic on specific companies, this paper utilizes the Fama-French five-factor model to analyze the performance changes for FAMMG companies before and after the COVID-19 outbreak. OLS method is applied to the FAAMG companies stock returns to examine the fitness of the model, and the fitness is strengthened after the outbreak. The pandemic causes significant changes in betas of the Fama-French five-factor model, specifically Robust minus Week (RMW) and Conservative minus Aggressive (CMA).