Validity of the Fama-French Three- and Five-Factor Models in Crisis Settings at the Example of Select Energy-Sector Companies during the COVID-19 Pandemic

This study empirically analyzes return data from select energy companies in developed and emerging markets using the Fama-French three- five-factor asset-pricing models crisis settings. It researches whether these are suitable to produce meaningful challenging economic circumstances. We use panel covering 12 of largest globally-operating Russia, China, US, EU, Saudi Arabia, a period between 2000 2022. The results undermine general notion that usage available multi-factor automatically yields all situations. reiterates need reconsider assumption addition more company-specific factors regression better results. contributes existing literature by broadening this research area. is first specifically analyze performance sector like COVID-19 pandemic with help models.