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

M.N. López-García, Juan Trinidad-Segovia (), M.A. Sánchez-Granero and I. Pouchkarev

European Journal of Operational Research, 2021, vol. 291, issue 2, 421-426

Abstract: In this paper, a new long-term memory factor for extending the well-known Fama and French model is proposed and discussed thoroughly. The new long-term memory factor is based on the Hurst exponent and is calculated using the fractal dimension (FD) algorithm. The relevance of the new factor is illustrated using a sample of 1500 largest U.S. companies from different sectors.

Keywords: Factor; Factor model; Hurst; Long memory; APT (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:291:y:2021:i:2:p:421-426

DOI: 10.1016/j.ejor.2019.07.071

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