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Equity risk factors for the long and short run: Pricing and performance at different frequencies

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  • van der Zwan, Terri
  • Hennink, Erik
  • Tuijp, Patrick

Abstract

This paper introduces a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for horizon-dependent risk exposures, consistent with the idea that investors with different investment horizons may respond differently to systematic risk. Empirical results show that frequency-specific ICAPM specifications outperform traditional models and attain goodness of fit comparable to benchmark Fama–French factor models. Our frequency-specific ICAPM results show significant prices of risk concentrated at horizons beyond three years. Our approach reveals novel low-frequency pricing information in ICAPM factors, with risk prices broadly consistent with ICAPM theory.

Suggested Citation

  • van der Zwan, Terri & Hennink, Erik & Tuijp, Patrick, 2026. "Equity risk factors for the long and short run: Pricing and performance at different frequencies," Journal of Empirical Finance, Elsevier, vol. 87(C).
    • Handle: RePEc:eee:empfin:v:87:y:2026:i:c:s0927539826000265
    DOI: 10.1016/j.jempfin.2026.101711
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    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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