Using Three-factor and Five-factor Models to Explore the Impact of the Covid-19 on the US Stock Health Care Industry

Abstract

Based on the Fama-French three and five factor models, this paper empirically studies the changes in the healthcare industry in the U.S. stock market before and after the epidemic. The results show that the explanatory power of the two models after the epidemic has increased, the influence of market factors has been reduced, the "small-scale" effect of the US stock health care industry has increased, and the market has more preference for growth stocks, and the profitability factor has become significantly affected by the epidemic. The investment style factor is redundant. The medical industry after the epidemic still has investment value.