A TIME-VARYING APPLICATION OF FAMA & FRENCH FIVE-FACTOR MODEL TO MEASURE THE PERFORMANCE OF DEVELOPED STOCK MARKETS DURING THE COVID-19 CRISIS

Abstract

In this article, a time-varying application is made to measure the stock market performance of developed markets during the Covid-19 crisis. For the above, the "Jensen's Alpha" is used, estimated from the model of Fama & French (2015) with heteroscedastic residuals. The results indicate that, during the crisis, the developed stock markets with the best performance are: Denmark, Israel and the Netherlands, while the worst performers are: Singapore, Belgium and Germany. Good performance is associated with efficient and well-focused fiscal policies and therefore stock markets with superior performance are alternatives that create value to global investors.