The examination of Fama-French Model during the Covid-19

This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R(2) of the models. We find that the influence of Dotcom bubble to the R(2) of growth model is statistically significant. The R(2) of growth portfolios decreases rapidly during t...

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Detalles Bibliográficos
Autores principales: Horváth, Dominik, Wang, Yung-Lin
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9760397/
https://www.ncbi.nlm.nih.gov/pubmed/36568730
http://dx.doi.org/10.1016/j.frl.2020.101848
Descripción
Sumario:This paper evaluates the performance of Fama-French models on US stock markets during the selected events by studying the R(2) of the models. We find that the influence of Dotcom bubble to the R(2) of growth model is statistically significant. The R(2) of growth portfolios decreases rapidly during the Financial crisis of 2008. The latest Covid-19 outbreak drop has led to a substantial in the R(2) during this event. Furthermore, we find that all of the beta model parameters are insignificant in the GMM model.

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