Global Factor Premiums
69 Pages Posted: 6 Feb 2019 Last revised: 8 Jan 2021
Date Written: January 31, 2019
We examine 24 global factor premiums across equity, bond, commodity and currency markets via replication and out-of-sample evidence between 1800 and 2016. Replication yields ambiguous evidence within a unified testing framework that accounts for p-hacking. Out-of-sample tests reveal strong and robust presence of the large majority of global factor premiums, with limited out-of-sample decay of the premiums. We find global factor premiums to be generally unrelated to market, downside, or macroeconomic risks in the 217 years of data. These results reveal significant global factor premiums that present a challenge to traditional asset pricing theories.
Keywords: Factor premium, Multiple hypothesis testing, P-hacking, Return anomalies, Predictability, Stocks, Bonds, Currencies, Commodities, Value, Momentum, Trend, Carry, Betting-against-beta, Seasonality
JEL Classification: C11, C12, F31, G11, G12, G15, N21
Suggested Citation: Suggested Citation