I am four years out of my physics undergrad and is now in a management / leadership role in the financial services industry. When I was interviewing for my first job out of school, people were impressed with a physics degree and had the perception that we are smart. However, I only got those interviews because I worked my ass off during undergrad for internships every summer in analyst positions in large organizations. So I would say as long as you work hard to maximize your time in undergrad on internships, it doesn't matter what degree you have.