Graduation Year
2026
Date of Defense
4-27-2026
Degree Name
Executive Doctorate of Business Administration (DBA)
Department
Charles F. Dolan School of Business
Document Type
Dissertation
First Advisor
Mousumi Bhattacharya
Abstract
This study examines the persistence of the Fama-French six-factor model before, during, and after the COVID-19 pandemic, evaluating whether traditional risk factors retained explanatory power across distinct macroeconomic regimes. Monthly and daily U.S. equity returns from 1963 through 2025 are analyzed using correlation analysis, difference-in-means testing, and time-series regressions with robust standard errors. Macroeconomic conditions are incorporated through measures of market volatility (VIX), short term fiscal policy (EFFR), inflation expectations (BEI), economic health expectations (YCS), and the state of the economy (ADS, UNRATE, INDPRO) with regime-dependent variation in factor sensitivities. The six-factor model continues to explain cross-sectional returns in the recovery period. The Market factor (MKT_RF) remains consistently significant across periods, particularly in its relationship to Volatility (VIX), while Size (SMB), Value (HML), Profitability (RMW), and Investment (CMA) exhibit weakened or altered behavior following COVID-19. Momentum (MOM) experiences a sharp disruption during the pandemic with partial recovery thereafter. Overall, the findings indicate that factor premia continue to price assets, but the macroeconomic foundations of those premia vary across regimes. The results therefore suggest that while the factor model framework remains empirically effective, the economic interpretation of several factors evolves across periods of significant market disruption. This study incorporates the updated Fama-French dataset and provides updated evidence on the time-varying behavior of factor models in the post-crisis environment.