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For example, we investigated whether the predicted-profitability factors we construct later are innovations in intertemporal capital asset pricing model (ICAPM) state variables following Maio and Santa-Clara (2012), and whether our factors are significantly correlated with consumption growth following Jagannathan and Wang (2007).
The ICAPM theory parts from an intertemporal portfolio choice problem, so that if investments opportunities are time-varying according to k state variables, expected returns are described, in equilibrium, by a (k + 1)-factor beta-pricing model.
The standard International CAPM (ICAPM) assumes that markets are completely integrated which is why there are no investment barrier and investment can be made freely to all countries.
A conditional version of the International Capital Asset Pricing Model (ICAPM) has been implemented to investigate the determinants of regional integration of four important stock markets in the Latin America region.
Using intertemporal capital asset pricing model (ICAPM), Hui Guo (2002) showed that excess stock market returns and risk free-rate have positive correlation with one period lagged variance, but have negative correlation with contemporaneous variance.
More recently, Koedijk and Van Dijk (2004) have verified, from a sample of nine industrialized countries, that in the case of approximately 95% of this sample of 3,300 stocks the estimate of the cost of equity capital with the local CAPM does not differ significantly from that obtained with the International Capital Asset Pricing Model (ICAPM) that includes a premium for exchange rate risk.
For example, using the commonly employed 25 size and book-to-market ranked portfolios as test assets, there is not much statistical evidence to establish that the five-factor intertemporal capital asset pricing model (ICAPM) of Petkova (2006) outperforms even the simple unconditional CAPM in terms of cross-sectional [R.sup.2].
Hence, the standard international capital asset pricing model (ICAPM) (Adler & Dumas, 1983) cannot be applied to emerging stock markets.
(4.) Aquino, R.Q., "A Variance Equality Test of the ICAPM on Philippine Stocks: Post-Asian Financial Crisis Period," Applied Economics, 38 (2006), pp.
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- ICAO Birdstrike Information System
- ICAO phonetic alphabet
- ICAO spelling alphabet
- ICAO Standard Atmosphere
- ICAP User Familiarization
- Icard, North Carolina
- Icarda International School of Aleppo
- Icaria (utopia)
- Icarian movement
- Icarian Sea
- Icarian Sea