The Omitted Sector: Factor Investing in Financials
Financial institutions excluded from factor studies show meaningful factor premiums; including them with adapted definitions improves risk-adjusted portfolio returns.
Featured in No. 139 on 13 Nov 2026 · 4 days after release
- Released
- 9 Nov 2026
- First featured
- No. 139 · 13 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 3 of 5
- Identifier
- SSRN 7682039
- Authors
- Guido Baltussen et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).