Empirical Research of Fama-French Five Factor Model in Real Estate Industry - Before and After the COVID-19
Abstract
This research uses Fama-French Five Factor Model to evaluate the influence of the COVID-19 and employs qualitative analysis to directly link movements in the real estate sector to shifts in the stock market. According to the findings, both the market factors and SMB have a good explanatory power. The significance of HML remains unchanged following the outbreak, whereas that of RMW and CMA shifts, which indicates the still limited explanatory capability of Fama-French Five Factor model in China’s real estate industry.
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DOI: http://dx.doi.org/10.18686/fm.v7i6.5580
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