题目：The q5 model and its consistency with the intertemporal CAPM

作者：林祺，浙江财经大学金融学院

期刊简介：《Journal of Banking and Finance》是国际学术界公认的金融学权威学术期刊，SSCI一区期刊，ABS 3星期刊，我校认定的外文一级A期刊，主要发表银行与金融等研究领域的高水平学术研究成果。

Abstract

In this paper, we test the consistency of the q5 model of Hou et al. (2019, 2020) with Merton’s (1973) intertemporal capital asset pricing model (ICAPM) framework. We find that all but one factors in the q5 model carry significantly positive covariance risk prices. The profitability factor, however, has little explanatory power for the cross-section of expected returns. The time-series tests show that the investment factor predicts a significant decline in stock market volatility, thereby being consistent with its positive price of covariance risk and satisfying the sign restrictions associated with the ICAPM. Importantly, the expected growth factor that is found to be helpful in describing cross-sectional average returns fails to predict future investment opportunities with the correct sign, which indicates that it is not a valid risk factor under the ICAPM. Overall, the ICAPM cannot be used as a theoretical background for the q5 model.