Maio, Paulo; Santa-Clara, Pedro - In: Journal of Financial Economics 106 (2012) 3, pp. 586-613
Can any multifactor model be interpreted as a variant of the Intertemporal CAPM (ICAPM)? The ICAPM places restrictions on time-series and cross-sectional behavior of state variables and factors. If a state variable forecasts positive (negative) changes in investment opportunities in time-series...