---
title: Factor Investing with Delays
url: https://www.ml-quant.com/papers/ssrn/5074221/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5074221
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5074221
featured: 2025-01-01
citations: unknown
topic: Asset Pricing & Factors
---


# Factor Investing with Delays

The study presents a new method for calculating transaction costs in the infrequently traded corporate bond market, emphasizing the significant impact of delay costs in illiquid securities.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5074221
- Identifier: SSRN 5074221
- Released: 2024-12-28
- First featured: Quant Letter No. 80 (2025-01-01): https://www.ml-quant.com/issues/2025-01-01/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

## Related

- [Machine Learning and the Cross-Section of Emerging Market Corporate Bond Returns](https://www.ml-quant.com/papers/ssrn/4632924/): Machine learning models considering nonlinearities and interactions offer better predictions of corporate bond behavior in emerging markets with high transaction costs, with key predictors tied to low-risk macro and momentum factors.
- [Factor Models for Chinese A-Shares: Performance Comparison](https://www.ml-quant.com/papers/ssrn/4605402/): Performance Comparison: The study evaluates asset pricing models in the Chinese Ashares market, concluding that a modified FamaFrench sixfactor model and a fourfactor model perform best, especially when transaction costs are factored in.
- [Unveiling True Talent: The Soccer Factor Model for Skill Evaluation](https://www.ml-quant.com/papers/arxiv/2412.05911/): The Soccer Factor Model (SFM) is a new method for evaluating soccer players' performance independently from their team's influence, allowing for more accurate comparisons.
- [The Cross-Section of Corporate Bond Returns](https://www.ml-quant.com/papers/ssrn/5130312/): A study of U.S. corporate bonds identifies four factors that provide strong return premiums after costs.
- [Dynamic Factor Correlation Model](https://www.ml-quant.com/papers/arxiv/2503.01080/): A new model with a unique variation-free parameterization of factor loadings shows adaptability and scalability in both small and large asset return environments.
- [Fundamental Properties of Linear Factor Models](https://www.ml-quant.com/papers/arxiv/2409.02521/): The article examines conditional linear factor models in asset pricing. It explores the relationships and characteristics of returns and factors using conditional means and covariances. This research lays the groundwork for defining and estimating these models.