finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to … diagnosing model specification, estimating conditional risk premia, and testing asset pricing restrictions under increasing cross …

these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the …

implementation of the ICAPM, which captures market risk and intertemporal risk (i.e., changes in long-term expected returns and … volatility). We build our intertemporal risk factors as mimicking portfolios for changes in dividend yield and realized … volatility and demonstrate that, ex-post, they capture news to long-term expected returns and volatility. Our estimated risk …