Erasmus University Rotterdam (EUR)
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Global Factor Premiums_dataset with raw data series

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posted on 2021-04-06, 07:37 authored by Guido BaltussenGuido Baltussen, Laurens SwinkelsLaurens Swinkels, Pim Van Vliet
This dataset contains Raw data series used in Figure 1, Table 2, and Table 4 from Baltussen, Swinkels, and Van Vliet (2021; "Global factor premiums", Journal of Financial Economics).
IMPORTANT: This data has been generated with the financial support of Erasmus University Rotterdam and Robeco Asset Management. Please quote the aforementioned study when using of the data. When using the data for commercial purpose or in commercial outings of any form explicit consent from the authors is required.

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    Erasmus School of Economics

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    Factor PremiumsMultiple hypothesis testingp-hackingreturn anomaliesPredictabilityStocksbondscommoditiescurrenciesvaluemomentumtrendcarrybetting against betaSeasonalityFinancial Economics

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    CC BY 4.0

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