Click here to download the time series of the global P-factorÂ
About the P-factor:
The global political factor is a factor mimicking portfolio constructed by going long high political risk countries and short low political risk countries. It commands a large risk premium of 11.10% in international equity markets over the period 1992-2016. Countries with high politics-policy uncertainty covary positively with the P-factor, thus earning higher average returns. Augmenting the global market portfolio with the P-factor significantly reduces pricing errors and improves cross-sectional fit.
Please cite:
Gala, Pagliardi, and Zenios
"Global political risk and international stock returns" (2023)
Journal of Empirical Finance, 72, 78-102