Multifactor models and their consistency with the ICAPM
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DOI: 10.1016/j.jfineco.2012.07.001
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More about this item
Keywords
Asset pricing models; Intertemporal CAPM; Predictability of stock returns; Cross-section of stock returns; Value and momentum;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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