Equity Return Predictability with the ICAPM
研究发现，在高预期市场收益状态下，ICAPM预测的贝塔与收益正相关显著，择时策略的夏普比率约为买入持有策略的两倍，年化阿尔法约5%。
Abstract This paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns. As a result, timing strategies exploiting this predictive power have Sharpe ratios about double those of the buy-and-hold strategies, alphas of about 5% per annum, and average returns increasing sharply with unconditional betas. Our findings relate to the positive beta-return relation uncovered overnight, on macroeconomic announcement days, and in low inflation times because these periods share an important common feature: high market returns.