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 phacking. 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.

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Journal of Financial Economics
Department of Business Economics

Baltussen, G., Swinkels, L., & van Vliet, P. (2021). Global Factor Premiums. Journal of Financial Economics. Retrieved from http://hdl.handle.net/1765/133359