Scruggs, John T.; Glabadanidis, Paskalis - In: Journal of Financial and Quantitative Analysis 38 (2003) 02, pp. 295-316
We investigate whether intertemporal variation in stock and bond risk premia can be explained by time-varying covariances with priced risk factors. We estimate and test a conditional two-factor variant of Merton's ICAPM in which excess returns on an equity index and a long-term government bond...