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

Table 7

The proportion of each factor under different Hurst exponent algorithms.

Panel A: Time parameter equals 12 months
Factor	MKT	SMB	HML	RMW	CMA	MOM	Hurst
	0.938466	0.48272	0.330149	0.507165	0.04608	0.87918	0.239112
	0.940152	0.485249	0.329306	0.505198	0.045518	0.876651	0.220849
Panel B: Time parameter equals 24 months
Factor	MKT	SMB	HML	RMW	CMA	MOM	Hurst
	0.934807	0.518141	0.374717	0.47619	0.061791	0.617063	0.268141
	0.933107	0.516156	0.376701	0.474206	0.060374	0.61763	0.25085
Panel C: Time parameter equals 36 months
Algorithm/factor	MKT	SMB	HML	RMW	CMA	MOM	Hurst
	0.940908	0.536095	0.401157	0.490405	0.088943	0.524825	0.271703
	0.921729	0.527268	0.406329	0.494207	0.088726	0.526137	0.291325