Choosing Factors
Eugene Fama, Kenneth French, 2018
Yet another installment in the factor war, where Fama et all do not cite Hou et al.
This article can be found here
Article looks into a 6th factor for momentum: Up Minus Down:
$R_{it} – F_t = a_i + b_i Mkt_t + s_i SMB_t + h_i HML_t + r_i RMWO_t + c_i CMA_t + m_i UMD_t + e_{it}$
The authors note that: We include momentum factors (somewhat reluctantly) now to satisfy insistent popular demand. We worry, however, that opening the game to factors that seem empirically robust but lack theoretical motivation has a destructive downside: the end of discipline that produces parsimonious models and the beginning of a dark age of data dredging that produces a long list of factors with little hope of sifting through them in a statistically reliable way.