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Mathematical Problems in Engineering
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2021
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Article
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Tab 5
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Research Article
Is the Long Memory Factor Important for Extending the Fama and French Five-Factor Model: Evidence from China
Table 5
Percent of presence in the models of each factor for 10,000 random portfolios of 30 stocks.
Factor
MKT
SMB
HML
RMW
CMA
MOM
Hurst
0.990253
0.50288
0.393886
0.682322
0.100576
0.473638
0.40895
0.99359
0.516026
0.409341
0.689103
0.091117
0.462454
0.391026