Research on the Change of the SMB of the Medical Sector before and after the Epidemic

This study confirms that the applicability of the Fama-French five-factor model in the Chinese market is related to the characteristics of the Chinese stock market, studies the factor differences between GEM and STB in China market and uses random forest algorithms to make predictions in different types of stock markets. It is concluded that SMB is the most significant in the Chinese market, GEM and STB has no significant difference. In addition, this work examines the change in returns of the pharmaceutical sector before and after the epidemic, perform time series analysis and independent sample mean test on the SMB size factor, then analyzes the policy reasons for the trend of the pharmaceutical sector and draw the conclusions that the epidemic has a negative effect on the SMB and the time trend has a positive effect on the SMB factor under the influence of controlling the epidemic.