The research on Fama-French 5-factor model in the medicine industry during COVID-19


  • Tingyu Sun
  • Yansu Wang
  • Menglong Yang



Fama-French 5-factor model; Medicine industry; COVID-19; Policy Making.


During COVID-19, the diease has changed various aspects on the stock market so dramatically that the stock prices in different industry fields. While Fama-French 5-factor model is one of the most effective stock prices assessment models, the worldwide change during these several years could have the unexpected influence on this professional method. In this research, attempting to find the relationship between medicine policy and the stock price, in order to explain the huge change on the economics progress with this model, the linear regression is adopted to cope with this issue. Results indicate that most of the regression coefficients of the explanatory variables under the five factors have the same significance, with only the difference in the size of the coefficient values. Besides, the larger the value of the policy, the higher the risk premiums of pharmaceutical companies will be, additionally, small minus big, high minus low, robust minus weak, and conservative minus aggressive average returns will decrease, and vice versa. In summary, this paper investigates the effectiveness of Fama-French 5-factor model with the new variable, the medicine policy, based on linear regression and other mathematics methods. In the future, it is of great importance to investigate stock prices under such situation and take other factors into seriously account while doing research. Overall, these results shed light on guiding future policy making and different perspective on medicine industry development.


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How to Cite

Sun, T., Wang, Y., & Yang, M. (2023). The research on Fama-French 5-factor model in the medicine industry during COVID-19. BCP Business & Management, 36, 77–82.