Global Factor Premiums
63 Pages Posted: 6 Feb 2019
Date Written: January 31, 2019
We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning more than 200 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large majority of global factors are strongly present under conservative p-hacking perspectives, with limited out-of-sample decay of the premiums. Further, utilizing our deep sample, we find global factor premiums to be not driven by market, downside, or macroeconomic risks. These results reveal strong global factor premiums that present a challenge to 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, N210
Suggested Citation: Suggested Citation