The Factor Multiverse: The Role of Interest Rates in Factor Return Measurement

The author is grateful to Jules van Binsbergen and Michael Schwert for their contributions in earlier stages of the project. For helpful comments and suggestions, the author thanks Kay Giesecke (the editor), an anonymous associate editor, two anonymous referees, Andrew Chen, Bryan Kelly, Dino Palazzo, Raman Uppal, and seminar and conference participants at Beijing Institute of Technology, Oregon State University, Fuller & Thaler Asset Management, 2023 Financial Intermediation Research Society Conference, the 15th Annual Hedge Fund Conference, 2023 China International Conference in Finance, 2023 NBER Summer Institute Asset Pricing Meeting, 2023 Financial Management Association Annual Meeting, and 2024 American Finance Association Annual Meeting.