Is the Long Memory Factor Important for Extending the Fama and French Five-Factor Model: Evidence from China

Table 2

The proportion of the seven factors in the optimal model.

Factor	MKT	SMB	HML	RMW	CMA	MOM	Hurst
	0.940152	0.485249	0.329306	0.505198	0.045518	0.876651	0.220849
	0.938465	0.482719	0.330149	0.507165	0.04608	0.87918	0.239112