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Investing style and sensitivity analysis in U.S. stock market during Covid-19 based on multi-factor model
2021 International Conference on Computer, Blockchain and Financial Development, CBFD 2021 ; : 343-346, 2021.
Article in English | Scopus | ID: covidwho-1846065
ABSTRACT
According to the unimaginable influence of Covid-19 and the essential of capital asset pricing in the market, this article analyzes the TV industry of the US stock market before and during the epidemic based on the Fama-French five-factor model. Fama-French five-factor model comprehensively considers the impact of market risk premium (Mkt-RF), market value scale factor, (SMB), book-to-market value ratio factor (HML), profit factor (RMW) and investment factor (CMA) on this industry. Meanwhile, it can conduct a comprehensive evaluation of the impact of Covid-19 on the TV industry. The data in this article was selected from Kenneth R. French's databases and used multiple linear regression to obtain the results. The performance of factors is different due to the outbreak of Covid-19. By analyzing the result, it found that Mkt-RF, SMB are not significant in the model, but HML, RMW, CMA have changed from insignificant to significant. It indicates that during the Covid-19, investors are recommended to pay more attention to the firms with high book-to-market ratios, stable profitability, and aggressive investment style in the USA TV industry. Therefore, research on the stock market of the TV industry plays an important role in the steady development of the economy, the creation of social wealth, and the improvement of people's living standards. © 2021 IEEE.
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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: 2021 International Conference on Computer, Blockchain and Financial Development, CBFD 2021 Year: 2021 Document Type: Article

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Full text: Available Collection: Databases of international organizations Database: Scopus Language: English Journal: 2021 International Conference on Computer, Blockchain and Financial Development, CBFD 2021 Year: 2021 Document Type: Article