On Tuesday, April 20, 2021 we will be welcoming Laurens Swinkels to the ICPM webinar series. Laurens will be discussing his latest study, Global Factor Premiums.
In this paper, Laurens and his team investigate global factor premiums across equity, bond, commodity and currency markets with a deep historical sample starting in 1800. 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 risk.