Do the Fama–French Factors Proxy for Innovations in Predictive Variables?
发现Fama-French的HML和SMB因子与描述投资机会的变量创新相关，加入股息收益率、期限利差等预测变量创新后，HML和SMB的载荷失去对截面收益的解释力，支持ICAPM解释。
ABSTRACT The Fama–French factors HML and SMB are correlated with innovations in variables that describe investment opportunities. A model that includes shocks to the aggregate dividend yield and term spread, default spread, and one‐month Treasury‐bill yield explains the cross section of average returns better than the Fama–French model. When loadings on the innovations in the predictive variables are present in the model, loadings on HML and SMB lose their explanatory power for the cross section of returns. The results are consistent with an ICAPM explanation for the empirical success of the Fama–French portfolios.