An empirical study of COVID-19's stock returns to the whole industry in the US stock market

Abstract

Based on the daily stock data of 49 industry classification data in Kenneth R. French database, this paper adopts the Fama-French five-factor model and adopts multiple linear regression method to empirically study the changes of stock return impact factors of 49 us industries before and after COVID-19.  The results show that the marginal effects of market risk factors and investment style factors on stock returns weaken, while the marginal effects of market value factors and value factors increase.  The influence of profit factor on stock return is not significant.  Post-pandemic, the market favors small-cap stocks, value stocks, and conservative portfolios.  Specific to the industry level, the small market value and value stock portfolio of the hotel and catering industry bring greater excess returns;  The rare metal industry of high market value, growth stock portfolio excess return is greater;  Textile industry value stocks, investment style aggressive portfolio to get better returns.  Based on this, when the "black Swan" event comes, we should pay attention to grasp the switch of investment style in order to achieve better returns.  At the same time, specific to each industry investment strategy should be different.