This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021). It researches whether the addition of the profitability and investment pattern factors show superior results in the assessment of emerging markets during the COVID-19 pandemic compared to developed markets. We use panel data covering eight indices of developed and emerging countries as well as a selection of eight companies from these markets, covering a period from 2000 to 2020. Our findings suggest that emerging markets do not generally outperform developed markets. The results underscore the need to reconsider the assumption that adding more factors to regression models automatically yields results that are more reliable. Our study contributes to the extant literature by broadening this research area. It is the first study to compare the performance of the Fama French three-factor model and the Fama French five-factor model in the cost of equity calculation for developed and emerging countries during the COVID-19 pandemic and other crisis events of the past two decades.

This study empirically analyzes return data from developed and emerging markets to assess whether emerging markets show superior performance during the COVID-19 pandemic in terms of cost of equity. It analyses panel data from eight country indices of developed and emerging countries as well as eight exemplary companies from developed and emerging countries, covering the period from 2000 to 2020. The results provide evidence that emerging markets do not perform in a better way than developed markets. The findings highlight the need for a reassessment of the generalized notion that emerging markets are more profitable than developed markets in such crises which affect the core of their economic structure. It provides investors with meaningful advice on the creation of an investment strategy if they wish to perform equity investments in similar periods like the COVID-19 pandemic. The study contributes to the literature by advancing this research area and is the first study which analyzes and compares the cost of equity of developed and emerging markets during the COVID-19 pandemic.

This study empirically analyzes return data from select energy companies in developed and emerging markets using the Fama-French three- and five-factor asset-pricing models in crisis settings. It researches whether these models are suitable to produce meaningful return data in challenging economic circumstances. We use panel data covering 12 of the largest globally-operating energy companies from Russia, China, the US, the EU, and Saudi Arabia, covering a period between 2000 and 2022. The results undermine the general notion that the usage of available multi-factor asset-pricing models automatically yields meaningful data in all economic situations. The study reiterates the need to reconsider the assumption that the addition of more company-specific factors to regression models automatically yields better results. This study contributes to the existing literature by broadening this research area. It is the first study to specifically analyze the performance of companies from the energy sector in a crisis like the COVID-19 pandemic with the help of the Fama-French three- and five-factor models.