The Fama–French Five-Factor Model with Hurst Exponents Compared with Machine Learning Methods
Scholars and investors have been interested in factor models for a long time. This paper builds models using the monthly data of the A-share market. We construct a seven-factor model by adding the Hurst exponent factor and the momentum factor to a Fama–French five-factor model and find that there is...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-07-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/13/2988 |