While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run. When I started the work on the “Two Centuries of Price Momentum” paper in late 2007, there were barely any papers that looked behind the traditional back-test starting dates, and since then, I could not have imagined a more positive response and growth of interest in the field of long-run historical research, because the insights that come from deep history are truly new and critical to consider for both academic and practical reasons. Any of this was possible only because of the historians, nerdy heroes, who tirelessly continued to collect and organize centuries of data. Here is an attempt at a comprehensive list of long-run factor literature today (if I missed your work or if you know of one, please add it into comments):
Accominotti, Olivier and Chambers, 2014, David, Out-of-Sample Evidence on the Returns to Currency Trading. SSRN.
Annaert, Jan, Mensah, Lord, 2014, Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873–1914), Explorations in Economic History IDEAS
Arouria, Mohamed, Estay, Christophe, Rault, Christophe, Roubaud, David, 2016, Economic policy uncertainty and stock markets: Long-run evidence from the US, FRL
Baltussen, Guido, Swinkels, Laurens, and Pim van Vliet, 2019, Global Factor Premia, SSRN
Blitz, David, 2016, Low-volatility evidence dating back to 1873, WhitePaper Robeco.
Chabot, Benjamin, Ghysels, Eric, and Jagannathan, Ravi, 2009, Price momentum in stocks: insights from Victorian age data, NBER
Dimson, Elroy, Nagel, Stefan, Quigley, Garrett, 2003, Capturing the Value Premium in the United Kingdom. FAJ
Dimson, Elroy, Marsh, Paul, and Staunton, Mike, 2017, Factor-Based Investing: The Long-Term Evidence, JPM
Geczy, Christopher and Samonov, Mikhail, 2016, Two Centuries of Price-Return Momentum, FAJ
Geczy, Christopher and Samonov, Mikhail, 2017, Two Centuries of Multi-Asset Momentum (Equities, Bonds, Currencies, Commodities, Sectors and Stocks), Available at SSRN
Geczy, Christopher and Samonov, Mikhail, 2017, Two Centuries of Multi-Asset Value and Momentum, Knowledge @ Wharton
Geczy, Christopher and Samonov, Mikhail, 2019, Two Centuries of Commodity Futures Premia: Value, Momentum and Basis, upcoming.
Goetzmann, William N. and Huang, Simon, 2018, Momentum in Imperial Russia. Journal of Financial Economics, Forthcoming, SSRN
Gompes, Paul and Lerner, Josh, 2001, The Really Long-Run Performance of Initial Public Offerings: The Pre-Nasdaq Evidence. JOF
Greyserman, Alex and Kaminski, Kathryn, 2014, Trend Following with Managed Futures: The Search for Crisis Alpha, Wiley
Hanna, Alan, Turner, John, Walker, Clive, 2017, News Media and Investor Sentiment over the Long Run. SSRN
Hurst, Brian, Ooi, Yao Hua, and Pedersen, Lasse H., 2012, A century of evidence on trend-following, investing, AQR
Jacobsen, Ben, Zhang, Cherry Yi, 2018, “The Halloween Indicator, 'Sell in May and Go Away': Everywhere and All the Time”, SSRN
Lempérière, Yves, Deremble, Cyril, Seager, Philip Andrew, Potters, Marc, and Bouchaud, Jean-Philippe, 2014, Two centuries of trend following, IDEAS
Odlyzko, Andrew, 2017, Novel market inefficiencies from early Victorian times, FHR
Szakmary, Andrew C. and Zhou, Xiwen, 2013, Industry momentum in an earlier time: Evidence from Cowles data, Wiley
Urquhart, Andrew, McGroarty, Frank, 2014, Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data, IRFA
Wahal, Sunil, The Profitability and Investment Premium: Pre-1963 Evidence (March 20, 2018). Journal of Financial Economics (JFE), Forthcoming. SSRN
Zaremba, Adam, Long-Run Reversal in Commodity Returns: Insights from Seven Centuries of Evidence, SSRN
 For example, U.S. Equity market indices have been constructed and extended by the following sample of academics: Mitchell (1910), Smith and Cole (1928), Macaulay (1938), Cowles (1939), Fisher and Lorie (1960), Schwert (1990), Siegel (1992), Shiller (2000), Goetzmann, Ibbotson and Peng (2001), Sylla, Wilson and Wright (2006).