Equity risk factors for the long and short run: Pricing and performance at different frequencies
提出一种将不同频率的系统性风险纳入统一定价方程的多因子方法，发现频率特定的ICAPM模型优于传统模型，且风险价格集中在三年以上的长期。
This paper introduces a general linear multifactor asset pricing methodology that integrates systematic risk measured at different frequencies into a single pricing equation. Our setup allows for horizon-dependent risk exposures, consistent with the idea that investors with different investment horizons may respond differently to systematic risk. Empirical results show that frequency-specific ICAPM specifications outperform traditional models and attain goodness of fit comparable to benchmark Fama–French factor models. Our frequency-specific ICAPM results show significant prices of risk concentrated at horizons beyond three years. Our approach reveals novel low-frequency pricing information in ICAPM factors, with risk prices broadly consistent with ICAPM theory. • Framework to analyze different frequency bands in a multifactor asset pricing model. • For any linear factor model and orthogonal filter, no specific distribution assumed. • Frequency-specific ICAPM specifications outperform unfiltered versions. • Approach reveals novel long-horizon pricing information in ICAPM factors. • Estimated frequency-specific risk prices are broadly consistent with ICAPM theory.