{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T09:41:27Z","timestamp":1792662087269,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":0,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by-nc-nd\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Firm characteristics parameterize conditional factor loadings in IPCA. A larger characteristic li-\n&lt;br&gt;\nbrary adds new directions while also including directions that overlap with those already repre-\n&lt;br&gt;\nsented. We use the cross-sectional distribution of firm characteristics as a ruler to evaluate fixed-\n&lt;br&gt;\ndimensional IPCA loading spaces. Holding the number of factors fixed, expanding from 36 to 153\n&lt;br&gt;\ncharacteristics can improve in-sample fit while representing momentum and size positions less\n&lt;br&gt;\nfully. Reallocating shared factor exposures changes their attribution without changing joint fitted\n&lt;br&gt;\nreturns. Holding model coefficients fixed and the characteristic target constant, changing the expo-\n&lt;br&gt;\nsure reference changes stock holdings and trading demands, as well as subsequent return risk. The\n&lt;br&gt;\nfindings show that factor models should be evaluated by the economic exposures they represent\n&lt;br&gt;\nand the portfolio decisions those exposures support, alongside return fit.<\/jats:p>","DOI":"10.2139\/ssrn.7651398","type":"posted-content","created":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T09:11:32Z","timestamp":1792660292000},"source":"Crossref","is-referenced-by-count":0,"title":["The Ruler Matters: Factor Exposures, Attribution, and Portfolio Risk"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0008-5418-2563","authenticated-orcid":true,"given":"Mingyang","family":"Liu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","container-title":[],"original-title":[],"deposited":{"date-parts":[[2026,10,22]],"date-time":"2026-10-22T09:11:32Z","timestamp":1792660292000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.ssrn.com\/abstract=7651398"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2026]]},"references-count":0,"URL":"https:\/\/doi.org\/10.2139\/ssrn.7651398","relation":{},"subject":[],"published":{"date-parts":[[2026]]},"subtype":"preprint"}}