In Equity Return work lead by Fama price -dividend ratio is best predictor of stock returns in long run .

In Fixed income Diebold, lli  and Yoe suggests that factors driving interst rate at different horizons are similar across countries.

More recently Greenway-McGrevy suggests fluctuations in the exchange rates of different currencies are driven by global components extractrs from exchange rate data .

What are interest rates factor ?

The factor that drive interest rates is main of the yield curve. It provide with relations of interest rates at different maturities and its main compo are average of the yiled curve and the slope plus the curvature.