Does anyone know of any good papers that build sector-specific (utilities, financials, energy, etc.) versions of factor models like the Fama French 3-factor or Carhart 4-factor models?

For example, Fama and French (1992) said "We exclude financial firms because the high leverage that is normal for these firms probably does not have the same meaning as for nonfinancial firms, where high leverage more likely indicates distress."

But just because leverage in financial firms doesn't have the same meaning as other industries doesn't mean that it couldn't be used as a factor. Perhaps some combination of factors could be built for the financial sector?

I found a paper called "Designing Factor Models for Different Types of Stock: What's Good for the Goose Ain't Always Good for the Gander" It has some good points but is short.

(A little more background in case it helps: I'm building an open source climate risk model with a carbon risk factor, and I found that an energy specific carbon risk factor is very good for explaining energy stock returns, but weaker in other sectors, than a broad market carbon risk factor.)



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