Michael Brennan is at the Anderson School, UCLA, and Ashley Wang is at the Graduate School of Management, University of California, Irvine, and Yihong Xia is at the Wharton School of University of Pennsylvania. The authors thank the referee for his comments, which have led to substantial improvements in the paper. We are also grateful to Andrew Ang, David Chapman, George Constantinides, John Cochrane, Eugene Fama, Rick Green (the editor), Ravi Jaganathan, Pascal Maenhout, Jay Shanken, Ken Singleton, Baskharan Swaminathan, Zhenyu Wang, and seminar participants at the Fifth Texas Finance Festival, Beijing University, Carnegie Mellon University, Concordia, European University of Saint Petersburg, Hong Kong University of Science and Technology, Indiana University, London Business School, NBER 2002 Asset Pricing Program, Notre Dame, National Taiwan University, NYU, Stanford, University of Hong Kong, University of Lausanne, University of North Carolina, University of Strathclyde, WFA 2002 Annual Conference, AFA 2003 Annual Conference, and Wharton Brown Bag Lunch Seminar for helpful comments. We acknowledge the use of data on the Fama–French portfolios from the Website of Ken French. Xia acknowledges financial support from the Rodney L. White Center for Financial Research. Earlier drafts of the paper were circulated under the title “A Simple Model of Intertemporal Capital Asset Pricing and Its Implications for the Fama–French Three-Factor Model.”
Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing
Version of Record online: 27 NOV 2005
© 2004 the American Finance Association
The Journal of Finance
Volume 59, Issue 4, pages 1743–1776, August 2004
How to Cite
Brennan, M. J., Wang, A. W. and Xia, Y. (2004), Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing. The Journal of Finance, 59: 1743–1776. doi: 10.1111/j.1540-6261.2004.00678.x
- Issue online: 27 NOV 2005
- Version of Record online: 27 NOV 2005
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