TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
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  -