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Factor pricing across asset classes

Author

Listed:
  • Dang, Thuy Duong
  • Hollstein, Fabian
  • Prokopczuk, Marcel

Abstract

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.

Suggested Citation

  • Dang, Thuy Duong & Hollstein, Fabian & Prokopczuk, Marcel, 2026. "Factor pricing across asset classes," Journal of Empirical Finance, Elsevier, vol. 87(C).
    • Handle: RePEc:eee:empfin:v:87:y:2026:i:c:s0927539826000034
    DOI: 10.1016/j.jempfin.2026.101688
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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