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The examination of Fama-French Model during the Covid-19
Dominik Horváth1, Yung-Lin Wang1
1Nottingham Business School Nottingham Trent University.
Abstract:
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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