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Journal Article

How Do Factor Premia Vary Over Time? A Century of Evidence

July 2, 2019 - Antti Ilmanen Rachel Lee Tobias J. Moskowitz Ashwin Thapar

We examine four prominent factor premia – value, momentum, carry, and defensive – over a century from six asset classes. The results offer support for time-varying risk premia models with important implications for theory seeking to explain the sources of factor returns.