TY - JOUR U1 - Wissenschaftlicher Artikel A1 - Kostin, Konstantin A1 - Runge, Philippe A1 - Charifzadeh, Michel T1 - An analysis and comparison of multi-factor asset pricing model performance during pandemic situations in developed and emerging markets JF - Mathematics N2 - 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. KW - Fama French five-factor model KW - COVID-19 KW - pandemic KW - crisis KW - capital asset pricing KW - cost of equity investment KW - developed KW - emerging Y1 - 2022 UN - https://nbn-resolving.org/urn:nbn:de:bsz:rt2-opus4-34889 SN - 2227-7390 SS - 2227-7390 U6 - https://doi.org/10.3390/math10010142 DO - https://doi.org/10.3390/math10010142 VL - 10 IS - 1, Mathematics and financial economics SP - 16 S1 - 16 PB - MDPI CY - Basel ER -