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• W2911694623 abstract "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." @default.
• W2911694623 created "2019-02-21" @default.
• W2911694623 creator A5021229736 @default.
• W2911694623 creator A5067518819 @default.
• W2911694623 creator A5082194708 @default.
• W2911694623 date "2019-01-01" @default.
• W2911694623 modified "2023-09-26" @default.
• W2911694623 title "Global Factor Premiums" @default.
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• W2911694623 doi "https://doi.org/10.2139/ssrn.3325720" @default.
• W2911694623 hasPublicationYear "2019" @default.
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