The paper evaluates the performance of Fama-French models on US stock during Covid-19. All data used in constructed models have origination from Fama-French official website from 1st January 2000 to 31st March 2020. (Fama and French 2020). The results suggest that F-test and t-test in all models are statistically insignificant. On the other hand, the impacts of growth portfolio factors have counter effects on returns. Moreover, the value of portfolio models has overall lower volatility of with lower mean values. Covid-19 has different influence from the selected events on growth and value models but each model reacted with some exceptions.
Lead investigator: | Dominik Horvath |
Affiliation: | Nottingham Trent University |
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Start date | 1/2000 |
End date | 3/2020 |
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