• ISSN: 2010-023X (Print)
    • Abbreviated Title: Int. J. Trade, Economics and Financ.
    • Frequency: Quaterly
    • DOI: 10.18178/IJTEF
    • Editor-in-Chief: Prof.Tung-Zong (Donald) Chang
    • Managing Editor: Ms. Shira. W. Lu
    • Abstracting/ Indexing:  Crossref, Electronic Journals Library , EBSCO
    • E-mail: ijtef.editorial.office@gmail.com
HOME > Archive > 2022 > Volume 13 Number 5 (Oct. 2022) >
IJTEF 2022 Vol.13(5): 150-154 ISSN: 2010-023X
DOI: 10.18178/ijtef.2022.13.5.738

Fama and French Three Factor Model’s Performance in the COVID-19 Pandemic: A Case Study for Technology, Healthcare and Finance Sectors

Huy L. G. Vo

Abstract—This paper examines the empirical performance of Fama and French Three Factor (FFTF) Model in the event of COVID-19 pandemic. The model estimation was implemented across different industries of technology, healthcare and finance. I find that the abnormal growth of different sectors can be well predicted by the FFTF Model. Within the potential factors, industry specific features are not the main source of reducing the forecasting capability of the model. In addition, the excess return on the market is the factor that dominates during the pandemic. This could be explained by the fear of the virus spreading and worsening the economy. It suggests that the performance of the market regarding to the risk-free rate should be taken as the key factor to predict the return. This research also indicates the degree of precision of the FFTF model which can help investors compare it with other asset pricing models.

Index Terms—Asset pricing, fama and French, three factor model.

H. L. Author was with The University of Technology Sydney, Ultimo, NSW 2007 Australia (e-mail: voluugiahuy@gmail.com).

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Cite: Huy L. G. Vo, "Fama and French Three Factor Model’s Performance in  the COVID-19 Pandemic: A Case Study for Technology,  Healthcare and Finance Sectors," International Journal of Trade, Economics and Finance vol.13, no.5, pp. 150-154, 2022.

Copyright © 2022 by the authors. This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited (CC BY 4.0).

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