Two Centuries of Global Factor Premiums
A new research paper by Baltussen, Swinkels and van Vliet shows that all major factor strategies (trend, momentum, value, carry, seasonality and low beta/volatility) are highly significant on a sample of data spanning more than 200 years …
Shortly:
“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.”
