By conducting ordinary least square estimations using the Fama and French Three-Factor and Five-Factor models on thirty U S based industry portfolios, the significant rate of all the variables is compared Using the comparison, the impacts of the COVID-19 Pandemic on the markets and the Fama and French models are significant As a result, the significance level of all the independent variables has increased during the COVID-19 Pandemic The Five-Factor model fares a more substantial increase in efficiency during the Pandemic, and some variables, such as HML and CMA, see tremendous changes The market becomes less sophisticated during the Pandemic, and the Fama and French Five-Factor model may be more suitable for estimation under certain market environments, contrary to many previous studies
Research on the application of Fama and French three-factor and five-factor models in American industry