Pricing Intertemporal Risk When Investment Opportunities Are Unobservable
研究了在投资机会不可观测时，跨期风险因子是否在横截面中被定价。使用贝叶斯框架发现，先验信息对结论有重要影响，支持跨期资本资产定价模型（ICAPM）而拒绝CAPM。
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 about investment opportunities on model inferences. Whereas an uninformative prior specification produces weak evidence that intertemporal risk is priced, incorporating prior information about market-return predictability generates a large space of ex ante reasonable priors in which the estimated intertemporal risk factor is positively priced. Overall, the cross-sectional tests reject the capital asset pricing model (CAPM) and indicate support for the ICAPM.