{"id":8578,"date":"2020-07-09T08:39:19","date_gmt":"2020-07-09T07:39:19","guid":{"rendered":"http:\/\/www.economicsobservatory.com\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models"},"modified":"2020-07-09T08:39:19","modified_gmt":"2020-07-09T07:39:19","slug":"the-impact-of-covid-19-on-us-stock-market-fama-french-models","status":"publish","type":"ongoing-research","link":"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models","title":{"rendered":"The impact of Covid-19 on us stock market: Fama-French models"},"content":{"rendered":"<p>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.<\/p>\n<p><\/p>\n","protected":false},"template":"","categories":[],"frequency":[],"type_of_data":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v21.7 - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>The impact of Covid-19 on us stock market: Fama-French models - Economics Observatory<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models\" \/>\n<meta property=\"og:locale\" content=\"en_GB\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"The impact of Covid-19 on us stock market: Fama-French models - Economics Observatory\" \/>\n<meta property=\"og:description\" content=\"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 [&hellip;]\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models\" \/>\n<meta property=\"og:site_name\" content=\"Economics Observatory\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@econobservatory\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models\",\"url\":\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models\",\"name\":\"The impact of Covid-19 on us stock market: Fama-French models - Economics Observatory\",\"isPartOf\":{\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#website\"},\"datePublished\":\"2020-07-09T07:39:19+00:00\",\"dateModified\":\"2020-07-09T07:39:19+00:00\",\"breadcrumb\":{\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models#breadcrumb\"},\"inLanguage\":\"en-GB\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"https:\/\/www.economicsobservatory.com\/test\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"The impact of Covid-19 on us stock market: Fama-French models\"}]},{\"@type\":\"WebSite\",\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#website\",\"url\":\"https:\/\/www.economicsobservatory.com\/test\/\",\"name\":\"Economics Observatory\",\"description\":\"\",\"publisher\":{\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#organization\"},\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"https:\/\/www.economicsobservatory.com\/test\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-GB\"},{\"@type\":\"Organization\",\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#organization\",\"name\":\"Economics Observatory\",\"url\":\"https:\/\/www.economicsobservatory.com\/test\/\",\"logo\":{\"@type\":\"ImageObject\",\"inLanguage\":\"en-GB\",\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#\/schema\/logo\/image\/\",\"url\":\"https:\/\/www.economicsobservatory.com\/wp-content\/uploads\/2021\/06\/Logo-for-Twitter.png\",\"contentUrl\":\"https:\/\/www.economicsobservatory.com\/wp-content\/uploads\/2021\/06\/Logo-for-Twitter.png\",\"width\":540,\"height\":392,\"caption\":\"Economics Observatory\"},\"image\":{\"@id\":\"https:\/\/www.economicsobservatory.com\/test\/#\/schema\/logo\/image\/\"},\"sameAs\":[\"https:\/\/twitter.com\/econobservatory\",\"https:\/\/www.linkedin.com\/company\/economics-observatory\/\"]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"The impact of Covid-19 on us stock market: Fama-French models - Economics Observatory","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"https:\/\/www.economicsobservatory.com\/test\/ongoing-research\/the-impact-of-covid-19-on-us-stock-market-fama-french-models","og_locale":"en_GB","og_type":"article","og_title":"The impact of Covid-19 on us stock market: Fama-French models - Economics Observatory","og_description":"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. 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