Impacts of COVID-19 on U.S. Apparel Industry Based on the Fama-French Five Factor Model
DOI:
https://doi.org/10.54097/hbem.v4i.3361Keywords:
Fama-French Model, COVID-19, Apparel Industry, U.S. stock marketAbstract
The COVID-19 pandemic has caused a grievous global economic loss and many industries were destroyed by this crisis. Nevertheless, many apparel companies had a remarkable financial performance last year. This research applied the Fama-French Five Factor Model to analyze the influence on the apparel industries under the epidemic. Based on the daily data from Kenneth R. Frencha’s database, this paper chose the relevant 18 months data, selecting the outbreak point in February, 2020, as the dividing line. June, 2019 to February, 2020 is the period that before the pandemic, while March, 2020 to November, 2020 is the post-pandemic period. According to the results by multiple regression analysis, it found out that coronavirus pandemic had a radical effect on the apparel industry. Under the influence of COVID-19, investors preferred to put their money in relative aggressive companies to seek new investment opportunities. Therefore, investors need to pay attention to the financial situation and its product, which could be risky for their future development.
Downloads
References
Sharpe W F. Capital Asset Prices: a Theory of Market Equilibrium under Conditions of Risk*[J]. Journal of Finance, 1964, 19(3):425-442.
Liliana Inggrit Wijaya, Randy Kennardi Irawan and Putu Anom Mahadwartha. Test of Fama & French five factor-model on Indonesian stock market[J]. Atlantis Press, 2018: 48-50.
James Foye. A comprehensive test of the Fama-French five factor model in emerging markets[J]. Science Direct, 2018(37), 199-222.
Bera A K, Uyar U, Uyar S K. Analysis of the five factor asset pricing model with wavelet multiscaling approach[J]. The Quarterly Review of Economics and Finance, 2020, 76.
Dhaoui A, Bensalah N. Asset valuation impact of investor sentiment: A revised Fama–French five factor model[J]. Journal of Asset Management, 2018, 18(1):1-13.
Racicot F E, Rentz W F. Testing Fama–French's new five factor asset pricing model: evidence from robust instruments[J]. Applied Economics Letters, 2016, 23(4-6):444-448.
Miloš Nový, Čestmír JarýIssue. Economic and Social Impacts of COVID 19 on National Economies from the Point of View of Economic Theory[J]. SHS Web of Conf, 2021: 01036.
D Horváth, Wang Y L. The examination of Fama-French Model during the Covid-19[J]. Finance Research Letters, 2020:101848.
Baig A, Butt H A, Haroon O, et al. Deaths, Panic, Lockdowns and US Equity Markets: The Case of COVID-19 Pandemic[J]. Social Science Electronic Publishing.
Michie J. The covid-19 crisis – and the future of the economy and economics[J]. International Review of Applied Economics, 2020, 34(2):1-3.
Fama, E. F., and K. R. French. 1992. “The Cross-Section of Expected Stock Returns.” The Journal of Finance 47 (2): 427–465.
Fama, E.F. and French, K.R. (2015) A fifive factor asset pricing model. Journal of Financial Economics 116: 1–22.
SgT Group. https://www.sgtgroup.net/textile-quality-management-blog/apparel-industry-challenges 2017.
Downloads
Published
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
How to Cite
