We examine 24 global factor premiums across the main asset classes via replication and new-sample evidence spanning 217 years of data. Replication yields ambiguous evidence within a unified testing framework with methods that account for p-hacking. The new-sample evidence reveals that the large...

We develop a novel real-time metric of macroeconomic surprises across hundreds of macroeconomic series. Economic surprises display sizable short-term autocorrelation, driven by predictable errors in consensus forecasts. The resulting 'economic surprise momentum' is present across all major...