Pricing Intertemporal Risk When Investment Opportunities Are Unobservable
The intertemporal capital asset pricing model (ICAPM) predicts that an unobservable factor capturing changes in expected market returns should be priced in the cross section. My Bayesian framework accounts for uncertainty in the intertemporal risk factor and gauges the effects of prior information a...
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| Format: | Article |
| Language: | English |
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Cambridge University Press
2019
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| Online Access: | View Fulltext in Publisher |