Misallocated, Not Mispriced: The Resolution Limit of Local Strength in the Factor Zoo
Rejected factors earn 1.30 Sharpe in their home market versus 0.85 overall, yielding 3.8% six-factor alpha per year through venue reallocation constrained by signal-to-noise limits.
Featured in No. 135 on 16 Oct 2026 · 2 days after release
- Released
- 14 Oct 2026
- First featured
- No. 135 · 16 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- SSRN 7607684
- Authors
- Huannian Jin
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).