Intertemporal CAPM and the Cross-Section of Stock Returns

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Yield Spreads as Alternative Risk Factors for Size and Book-to-Market (2006, background): “…in Brennan, Wang, and Xia (2002), Campbell (1996), and Chen (2002)), common to this literature is the idea that time-varying investment 5Chan and Chen (1991) find that a portfolio of small firms contains a large proportion of marginal firms that have high financial leverage and cash flow…”
Good Times or Bad Times? Investors' Uncertainty and Stock Returns (2009, unknown): “For example, Chen (2003) extends Campbell’s (1993, 1996) version of the ICAPM to a heteroscedastic environment that allows for time-varying covariances and stochastic market volatility.”
Multifactor models and their consistency with the ICAPM (2012, unknown): “DY is 5 This proposition is consistent with the model developed by Chen (2003).”
Bad Beta, Good Beta (2004, unknown): “…the solution in the form of a K-factor model, where the first factor is the market return and the other factors are shocks to variables that predict the market return.4 The two recent empirical papers that are closest to ours in their focus are by Brennan, Wang, and Xia (2003) and Chen (2003).”
Does Idiosyncratic Volatility Proxy for Risk Exposure (2012, methodology): “Instead, Campbell (1993) and Chen (2003) propose that state variables that predict investment opportunities in the time series should be used as risk factors in the cross section.”