Factor pricing across asset classes

Dang, T. D., Hollstein, F. and Prokopczuk, M. (2026) Factor pricing across asset classes. Journal of Empirical Finance, 87. 101688. ISSN 0927-5398 doi: 10.1016/j.jempfin.2026.101688

Abstract/Summary

An integrated factor model is valuable for multi-asset class investing and proves superior for analyzing fund performance. We study factor pricing across seven major asset classes, including U.S. and international equities, corporate bonds, commodities, currencies, equity indices, and government bonds. The pricing power of models from one asset class for others is limited. We use a factor selection methodology to create an optimal integrated factor model across asset classes. This model includes several equity and corporate bond factors, but prices assets across all asset classes without requiring factors from each. The results suggest that markets are significantly but imperfectly integrated.

Item Type	Article
URI	https://centaur.reading.ac.uk/id/eprint/130852
Identification Number/DOI	10.1016/j.jempfin.2026.101688
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Elsevier
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