Global Factor Premiums Over the Very Long Run
February 21, 2019 - Calendar Effects, Equity Premium, Momentum Investing, Value Premium, Volatility Effects
Do very old data confirm reliability of widely accepted asset return factor premiums? In their January 2019 paper entitled “Global Factor Premiums”, Guido Baltussen, Laurens Swinkels and Pim van Vliet present replication (1981-2011) and out-of-sample (1800-1908 and 2012-2016) tests of six global factor premiums across four asset classes. The asset classes are equity indexes, government bonds, commodities and… Keep Reading