Is Sector Neutrality in Factor Investing a Mistake?
研究了股票特征在行业间和行业内预测收益的能力，发现多空投资者应进行行业中性化，而纯多头投资者应避免。
Stock characteristics have two sources of predictive power. First, a characteristic might be valuable in identifying high or low expected returns across industries. Second, a characteristic might be useful in identifying individual stock expected returns within an industry. Past studies generally find that the firm-specific component is the strongest predictor, leading many to sector neutralize their factor exposures. We show both analytically and empirically that the average long–short investor is more likely to benefit from hedging out sector bets, whereas the long-only investor should, on average, avoid sector neutralization.