Rethinking Profitability Risk in Financial Firms: A Practitioner’s Framework for Portfolio Decisions
指出传统盈利指标未考虑金融中介的资金成本，导致盈利误测风险，并提出金融运营盈利（FOP）框架，用收入减利息费用除以账面权益来衡量，帮助投资者改进投资组合构建和风险评估。
The authors identify a form of profitability mismeasurement risk in financial firms that is not captured by traditional frameworks. The risk arises when conventional profitability metrics are applied without accounting for the economics of financial intermediation. Standard measures, developed largely for nonfinancial firms, treat interest expense as a financing cost rather than a core operating input. For financial institutions, however, the cost of funding is central to value creation. This mismatch can lead investors to misinterpret profitability exposures, creating a source of risk that is not reflected in standard factor frameworks. The issue is particularly relevant given the size of financial sector allocations and their sensitivity to funding conditions. To address this gap, the authors present a practical diagnostic tool, the financial operating profitability (FOP) framework, which is defined as revenue minus interest expense scaled by book equity. Using US data, they show that financial firms identified as more profitable under this approach exhibit economically meaningful differences in subsequent return behavior relative to those selected using conventional metrics. The paper contributes by identifying a gap in how profitability risk is understood in financial firms and by providing a practical framework for improving portfolio construction, risk assessment, and investment oversight.