Extending the Fama and French model with a long term memory factor

M.N. López-García,J.E. Trinidad-Segovia,M.A. Sánchez-Granero, I. Pouchkarev

European Journal of Operational Research（2021）

引用 19|浏览2

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摘要

•A new factor for the Fama and French factor model is proposed.•The factor is based on the existence or not of long memory on the price series.•The new factor is more relevant than the momentum one.•The new factor is as relevant as the classical ones.

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关键词

Factor,Factor model,Hurst,Long memory,APT

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