An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

This study empirically analyzes and compares return data from developed emerging market based on the Fama French five-factor model it to previous results three-factor by Kostin, Runge Adams (2021). It researches whether addition of profitability investment pattern factors show superior in assessment markets during COVID-19 pandemic compared markets. We use panel covering eight indices countries as well a selection companies these markets, period 2000 2020. Our findings suggest that do not generally outperform The underscore need reconsider assumption adding more regression models automatically yields are reliable. contributes extant literature broadening this research area. is first compare performance cost equity calculation for other crisis events past two decades.