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
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author Horváth, Dominik
Wang, Yung-Lin
author_facet Horváth, Dominik
Wang, Yung-Lin
author_sort Horváth, Dominik
collection PubMed
description 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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spelling pubmed-97603972022-12-19 The examination of Fama-French Model during the Covid-19 Horváth, Dominik Wang, Yung-Lin Financ Res Lett Article 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. Elsevier Inc. 2021-07 2020-11-12 /pmc/articles/PMC9760397/ /pubmed/36568730 http://dx.doi.org/10.1016/j.frl.2020.101848 Text en © 2020 Elsevier Inc. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Horváth, Dominik
Wang, Yung-Lin
The examination of Fama-French Model during the Covid-19
title The examination of Fama-French Model during the Covid-19
title_full The examination of Fama-French Model during the Covid-19
title_fullStr The examination of Fama-French Model during the Covid-19
title_full_unstemmed The examination of Fama-French Model during the Covid-19
title_short The examination of Fama-French Model during the Covid-19
title_sort examination of fama-french model during the covid-19
topic Article
url 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
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