Research on the application of Fama-French 5-factor model in the steel industry during COVID-19

Abstract

Abstract Based on the Fama-French 5-factor model (FF5), this paper analyzes the market changes of the American steel industry before and after the epidemic. In this paper, the Data from Kennethr French-Data Library were used to make multiple regression analysis of the U.S. steel industry before and after the epidemic. The Fama-French 5-factor model was also used for analysis. According to the results of multiple linear regression, due to the influence of COVID-19, the coefficient of market risk (Betam) decreased; Robust minus Week (RMW) changed from significant to insignificant; Small minus Big (SMB) and High minus Low (HML) were significant and the change of epidemic situation was not significant, while Conservative minus Aggressive (CMA) was not significant. The impact of the outbreak on the U.S. steel industry has been dramatic and has led to a huge decline in the entire industry.