Global factor premiums

We examine 24 global factor premiums across equity, bond, commodity, and currency markets via replication out-of-sample evidence between 1800 2016. Replication yields ambiguous within a unified testing framework that accounts for p-hacking. Out-of-sample tests reveal strong robust presence of the large majority premiums, with limited decay premiums. find to be generally unrelated market, downside, or macroeconomic risks in 217 years data. These results significant present challenge traditional asset pricing theories.