---
title: Factor Models Robustness
url: https://www.ml-quant.com/papers/repec/wsi-qjfxxx-v-13-y-2023-i-04-n-s2010139223500118/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:wsi:qjfxxx:v:13:y:2023:i:04:n:s2010139223500118
source_url: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS2010139223500118%3Bh%3Drepec%3Awsi%3Aqjfxxx%3Av%3A13%3Ay%3A2023%3Ai%3A04%3An%3As2010139223500118
featured: 2024-02-21
citations: unknown
topic: Asset Pricing & Factors
---


# Factor Models Robustness

Research shows that the robustness of factor models changes with factor formation breakpoints, with extreme sorts yielding higher returns and centered breakpoints resulting in less risk.

- Source: https://econpapers.repec.org/scripts/redir.pf?u=http%3A%2F%2Fwww.worldscientific.com%2Fdoi%2Fabs%2F10.1142%2FS2010139223500118%3Bh%3Drepec%3Awsi%3Aqjfxxx%3Av%3A13%3Ay%3A2023%3Ai%3A04%3An%3As2010139223500118
- Identifier: RePEc:wsi:qjfxxx:v:13:y:2023:i:04:n:s2010139223500118
- Released: 2023-07-09
- First featured: Quant Letter No. 38 (2024-02-21): https://www.ml-quant.com/issues/2024-02-21/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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