Multifactor models and their consistency with the ICAPM

By Paulo Maio, Pedro Santa-clara. 2012

117 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/655524bad63d61a44ae71ab1c30bb9376a8f9220

Citations in the corpus

• Investor Sentiment and Economic Forces (2017, unknown): “Thus, Merton’s (1973) ICAPM is ambiguous about the sign of the price of risk for TERM and DEF (see, Maio and Santa-Clara (2012)). minus-low portfolio returns are not particularly high.”