Identifying portfolio-based systematic risk factors in equity markets

•We examine if four proposed factors have the necessary risk-return relationship to qualify as risk factors.•Our results suggest that the investment and betting-against-beta factors fulfill the necessary conditions.•The profitability and quality factors do not fulfill the necessary conditions.

Four prominent new asset pricing factors have recently been proposed. We test whether these factors fulfill the necessary conditions to qualify as risk factors. We show that the investment and betting-against-beta factors fulfill these conditions. However, the profitability and quality factors do not fulfill these conditions pointing towards non-risk-based explanations.